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Zapiski Nauchnykh Seminarov POMI, 2009, Volume 368, Pages 75–94 (Mi znsl3504)  
This article is cited in 1 scientific paper (total in 1 paper)

Distributions of the location of the maximum and minimum for diffusions with jumps

A. N. Borodin

St. Petersburg Department of V. A. Steklov Institute of Mathematics, Russian Academy of Sciences, St. Petersburg, Russia
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Abstract: The paper deals with methods of computation of distributions of the location of the maximum and the location of the minimum for a diffusions with jumps. As an example explicit formulas for distributions of the location of the maximum of the process equal the sum of Brownian motion and compound Poisson process is obtained. Bibl. – 8 titles.
Key words and phrases: distribution of functionals, diffusion with jumps, infimum, supremum.
Received: 30.10.2009
English version:
Journal of Mathematical Sciences (New York), 2010, Volume 167, Issue 4, Pages 474–485
DOI: https://doi.org/10.1007/s10958-010-9933-x
Bibliographic databases:
Document Type: Article
UDC: 519
Language: Russian
Citation: A. N. Borodin, “Distributions of the location of the maximum and minimum for diffusions with jumps”, Probability and statistics. Part 15, Zap. Nauchn. Sem. POMI, 368, POMI, St. Petersburg, 2009, 75–94; J. Math. Sci. (N. Y.), 167:4 (2010), 474–485
Citation in format AMSBIB
\Bibitem{Bor09}
\by A.~N.~Borodin
\paper Distributions of the location of the maximum and minimum for diffusions with jumps
\inbook Probability and statistics. Part~15
\serial Zap. Nauchn. Sem. POMI
\yr 2009
\vol 368
\pages 75--94
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl3504}
\transl
\jour J. Math. Sci. (N. Y.)
\yr 2010
\vol 167
\issue 4
\pages 474--485
\crossref{https://doi.org/10.1007/s10958-010-9933-x}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-77953915788}
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    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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