First passage times of a jump diffusion process

Advances in Applied Probability

Volumn 35, Issue 2, 2003, Pages 504-531

  Kou, S G ^a   Wang, Hui ^b  

^a Fu Foundation School of Engineering and Applied Science   (United States)

^b BROWN UNIVERSITY   (United States)

Author keywords

Differential equation; Gaver Stehfest algorithm; Infinitesimal generator; Integral equation; L vy process; Marked point process; Martingale; Renewal theory

Indexed keywords

ALGORITHMS; BOUNDARY CONDITIONS; BROWNIAN MOVEMENT; DIFFERENCE EQUATIONS; INTEGRAL EQUATIONS; LAPLACE TRANSFORMS;

GAVER-STEHFEST ALGORITHM; INFINITESIMAL GENERATOR; JUMP DIFFUSION PROCESSES; LEVY PROCESS; RENEWAL THEORY;

POISSON DISTRIBUTION;

EID: 0038383048     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1051201658     Document Type: Article

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