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Some Remarks on the First-Crossing Area of a Diffusion Process with Jumps over a Constant Barrier

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Book cover Computer Aided Systems Theory - EUROCAST 2013 (EUROCAST 2013)

Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 8111))

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Abstract

For a given barrier S > 0 and a one-dimensional jump-diffusion process X(t), starting from x < S, we study the probability distribution of the integral \(A_S(x)= \int _0 ^{\tau_S(x)}X(t) \ dt\) determined by X(t) till its first-crossing time τ S (x) over S.

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References

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Author information

Authors and Affiliations

  1. Tor Vergata University, Rome, Italy

    Marco Abundo & Mario Abundo

Authors
  1. Marco Abundo
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  2. Mario Abundo
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Editors and Affiliations

  1. Universidad de Las Palmas de Gran Canaria, Instituto Universitario de Ciencias y Tecnologías Cibernéticas, Campus de Tafira, 35017, Las Palmas de Gran Canaria, Spain

    Roberto Moreno-Díaz  & Alexis Quesada-Arencibia  & 

  2. Johannes Kepler Universität Linz, Altenbergerstrasse 69, 4040, Linz, Austria

    Franz Pichler

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Abundo, M., Abundo, M. (2013). Some Remarks on the First-Crossing Area of a Diffusion Process with Jumps over a Constant Barrier. In: Moreno-Díaz, R., Pichler, F., Quesada-Arencibia, A. (eds) Computer Aided Systems Theory - EUROCAST 2013. EUROCAST 2013. Lecture Notes in Computer Science, vol 8111. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-53856-8_3

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  • DOI: https://doi.org/10.1007/978-3-642-53856-8_3

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-53855-1

  • Online ISBN: 978-3-642-53856-8

  • eBook Packages: Computer ScienceComputer Science (R0)

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