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

  • Marco Abundo
  • Mario Abundo
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 8111)

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.

Keywords

First-crossing time first-crossing area jump-diffusion 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  • Marco Abundo
    • 1
  • Mario Abundo
    • 1
  1. 1.Tor Vergata UniversityRomeItaly

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