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Zapiski Nauchnykh Seminarov POMI, 2009, Volume 364, Pages 70–87 (Mi znsl3151)  

This article is cited in 2 scientific papers (total in 2 papers)

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
Full-text PDF (256 kB) Citations (2)
References:
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.
Received: 01.12.2007
English version:
Journal of Mathematical Sciences (New York), 2010, Volume 163, Issue 4, Pages 352–362
DOI: https://doi.org/10.1007/s10958-009-9678-6
Bibliographic databases:
UDC: 519.21
Language: Russian
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}
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  • https://www.mathnet.ru/eng/znsl/v364/p70
  • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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    Abstract page:311
    Full-text PDF :87
    References:70
     
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