On the first exit time from an interval for diffusions with jumps
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The paper deals with methods of computation of distributions of functionals for a process which is a generalization of diffusion with jumps. One of the main points is that values of jumps depend on the position of the diffusion before the jump. The next generalization concerns moments of jumps. They occur in accordance with a compound Poisson process or with jumping moments constructed by inverse integral functionals of the diffusion. Bibliography: 8 titles.
KeywordsRussia Poisson Process Mathematical Institute Integral Functional Exit Time
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