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Zapiski Nauchnykh Seminarov POMI, 2011, Volume 396, Pages 73–87 (Mi znsl4651)  
Joint distributions of the infimum, the supremum and the end of Brownian motion with jumps

A. N. Borodinab

a St. Petersburg Department of V. A. Steklov Institute of Mathematics, Russian Academy of Sciences, St. Petersburg, Russia
b Saint-Petersburg State University, Saint-Petersburg, Russia
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Abstract: In the paper, we compute the joint distributions of the infimum, the supremum and the end of the Brownian motion with jumps. The final time of the Brownian motion with jumps is taken at the exponentially distributed random time independent of the process. This corresponds to the Laplace transform with respect to the deterministic time of the joint distributions under consideration.
Key words and phrases: distributions, infimum, supremum, Brownian motion, jumps.
Received: 15.10.2011
English version:
Journal of Mathematical Sciences (New York), 2013, Volume 188, Issue 6, Pages 677–685
DOI: https://doi.org/10.1007/s10958-013-1157-4
Bibliographic databases:
Document Type: Article
UDC: 519.2
Language: Russian
Citation: A. N. Borodin, “Joint distributions of the infimum, the supremum and the end of Brownian motion with jumps”, Probability and statistics. Part 17, Zap. Nauchn. Sem. POMI, 396, POMI, St. Petersburg, 2011, 73–87; J. Math. Sci. (N. Y.), 188:6 (2013), 677–685
Citation in format AMSBIB
\Bibitem{Bor11}
\by A.~N.~Borodin
\paper Joint distributions of the infimum, the supremum and the end of Brownian motion with jumps
\inbook Probability and statistics. Part~17
\serial Zap. Nauchn. Sem. POMI
\yr 2011
\vol 396
\pages 73--87
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl4651}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2870132}
\transl
\jour J. Math. Sci. (N. Y.)
\yr 2013
\vol 188
\issue 6
\pages 677--685
\crossref{https://doi.org/10.1007/s10958-013-1157-4}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-84880608225}
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