Zapiski Nauchnykh Seminarov POMI
 RUS  ENG JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB
 General information Latest issue Archive Impact factor Search papers Search references RSS Latest issue Current issues Archive issues What is RSS

 Zap. Nauchn. Sem. POMI: Year: Volume: Issue: Page: Find

 Zap. Nauchn. Sem. POMI, 2009, Volume 364, Pages 70–87 (Mi znsl3151)

On first exit time from an interval for diffusions with jumps

A. N. Borodin

St. Petersburg Department of V. A. Steklov Institute of Mathematics, Russian Academy of Sciences

Abstract: The paper deals with the methods of computations of distributions of functionals of diffusion with jumps, stopped at the first exit time from an interval. For diffusions with jumps the first exit time can occur aither by means of crossings the boundary or by jumping over it. In this connection it is possible to mention three classes of results. The first concerns to the case, when it is not distinguished the way of the first exit from an interval. The second related to the case when the first exit time occurs by means of crossing the boundary. At last the third type of results concerns the case, when the first exit time occurs by means of jump over the boundary. In this case it is necessary to take into account the value of the jump. Bibl. – 8 titles.

Full text: PDF file (256 kB)
References: PDF file   HTML file

English version:
Journal of Mathematical Sciences (New York), 2010, 163:4, 352–362

UDC: 519.21

Citation: A. N. Borodin, “On first exit time from an interval for diffusions with jumps”, Probability and statistics. Part 14–2, Zap. Nauchn. Sem. POMI, 364, POMI, St. Petersburg, 2009, 70–87; J. Math. Sci. (N. Y.), 163:4 (2010), 352–362

Citation in format AMSBIB
\Bibitem{Bor09} \by A.~N.~Borodin \paper On first exit time from an interval for diffusions with jumps \inbook Probability and statistics. Part~14--2 \serial Zap. Nauchn. Sem. POMI \yr 2009 \vol 364 \pages 70--87 \publ POMI \publaddr St.~Petersburg \mathnet{http://mi.mathnet.ru/znsl3151} \transl \jour J. Math. Sci. (N. Y.) \yr 2010 \vol 163 \issue 4 \pages 352--362 \crossref{https://doi.org/10.1007/s10958-009-9678-6} \scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-70549102286} 

• http://mi.mathnet.ru/eng/znsl3151
• http://mi.mathnet.ru/eng/znsl/v364/p70

 SHARE:

Citing articles on Google Scholar: Russian citations, English citations
Related articles on Google Scholar: Russian articles, English articles

This publication is cited in the following articles:
1. A. N. Borodin, “Distributions of the location of the maximum and minimum for diffusions with jumps”, J. Math. Sci. (N. Y.), 167:4 (2010), 474–485
2. A. N. Borodin, “Distributions of functionals of diffusions with jumps connected with the location of the maximum or minimum”, J. Math. Sci. (N. Y.), 176:2 (2011), 146–161
•  Number of views: This page: 229 Full text: 65 References: 42