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Zapiski Nauchnykh Seminarov POMI, 2010, Volume 384, Pages 78–104 (Mi znsl3886)  
Distributions of functionals of diffusions with jumps connected with the location of the maximum or minimum

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 computations of distributions of integral functionals of diffusions with jumps at the time moments, in which the maximum and the minimum values of diffusions are achieved. As an example an explicit formulas for the Laplace transform of joint locations of minimum and maximum of the process equal the sum of Brownian motion and the compound Poisson process are obtained. Bibl. 7 titles.
Key words and phrases: distribution of functionals, diffusion with jumps, location of minimum, location of maximum.
Received: 30.10.2010
English version:
Journal of Mathematical Sciences (New York), 2011, Volume 176, Issue 2, Pages 146–161
DOI: https://doi.org/10.1007/s10958-011-0407-6
Bibliographic databases:
Document Type: Article
UDC: 519
Language: Russian
Citation: A. N. Borodin, “Distributions of functionals of diffusions with jumps connected with the location of the maximum or minimum”, Probability and statistics. Part 16, Zap. Nauchn. Sem. POMI, 384, POMI, St. Petersburg, 2010, 78–104; J. Math. Sci. (N. Y.), 176:2 (2011), 146–161
Citation in format AMSBIB
\Bibitem{Bor10}
\by A.~N.~Borodin
\paper Distributions of functionals of diffusions with jumps connected with the location of the maximum or minimum
\inbook Probability and statistics. Part~16
\serial Zap. Nauchn. Sem. POMI
\yr 2010
\vol 384
\pages 78--104
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl3886}
\transl
\jour J. Math. Sci. (N. Y.)
\yr 2011
\vol 176
\issue 2
\pages 146--161
\crossref{https://doi.org/10.1007/s10958-011-0407-6}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-79959569834}
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