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Zapiski Nauchnykh Seminarov POMI, 2006, Volume 339, Pages 15–36
(Mi znsl155)
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This article is cited in 7 scientific papers (total in 7 papers)
Distributions of functionals of diffusions with jumps
A. N. Borodin St. Petersburg Department of V. A. Steklov Institute of Mathematics, Russian Academy of Sciences
Abstract:
The paper deals with the generalization of diffusion with
jumps. One of the main points is that the values of jumps depend on the
position of the diffusion before the jump. The next generalization concerns
the moments of jumps. They occur in accordance with the compound Poisson
process or with the jumping
moments constructed by the inverse integral functionals of the diffusion.
Received: 07.11.2006
Citation:
A. N. Borodin, “Distributions of functionals of diffusions with jumps”, Probability and statistics. Part 10, Zap. Nauchn. Sem. POMI, 339, POMI, St. Petersburg, 2006, 15–36; J. Math. Sci. (N. Y.), 145:2 (2007), 4843–4855
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https://www.mathnet.ru/eng/znsl155 https://www.mathnet.ru/eng/znsl/v339/p15
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Abstract page: | 219 | Full-text PDF : | 161 | References: | 34 |
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