A Note on Diffusion Processes with Jumps

  • Virginia Giorno
  • Serena SpinaEmail author
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 10672)


We focus on stochastic diffusion processes with jumps occurring at random times. After each jump the process is reset to a fixed state from which it restarts with a different dynamics. We analyze the transition probability density function, its moments and the first passage time density. The obtained results are used to study the lognormal diffusion process with jumps which is of interest in the applications.


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Copyright information

© Springer International Publishing AG 2018

Authors and Affiliations

  1. 1.Dipartimento di InformaticaUniversità di SalernoFiscianoItaly
  2. 2.Dipartimento di MatematicaUniversità di SalernoFiscianoItaly

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