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Zapiski Nauchnykh Seminarov POMI, 2013, Volume 420, Pages 5–22 (Mi znsl5724)  
Distributions of functionals of diffusions with jumps stopped at random moments

A. N. Borodinab

a St. Petersburg Department of V. A. Steklov Institute of Mathematics of the Russian Academy of Sciences, St. Petersburg, Russia
b St. Petersburg State University, St. Petersburg, Russia
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Abstract: The paper deals with the methods of computations of distributions of functionals of diffusions with jumps, stopped at the minimum of exponentially distributed random time and the first exit time from an interval.
Key words and phrases: distributions of functionals, diffusions with jumps, random moments.
Received: 15.10.2013
English version:
Journal of Mathematical Sciences (New York), 2015, Volume 206, Issue 2, Pages 115–126
DOI: https://doi.org/10.1007/s10958-015-2297-5
Bibliographic databases:
Document Type: Article
UDC: 519
Language: Russian
Citation: A. N. Borodin, “Distributions of functionals of diffusions with jumps stopped at random moments”, Probability and statistics. Part 20, Zap. Nauchn. Sem. POMI, 420, POMI, St. Petersburg, 2013, 5–22; J. Math. Sci. (N. Y.), 206:2 (2015), 115–126
Citation in format AMSBIB
\Bibitem{Bor13}
\by A.~N.~Borodin
\paper Distributions of functionals of diffusions with jumps stopped at random moments
\inbook Probability and statistics. Part~20
\serial Zap. Nauchn. Sem. POMI
\yr 2013
\vol 420
\pages 5--22
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl5724}
\transl
\jour J. Math. Sci. (N. Y.)
\yr 2015
\vol 206
\issue 2
\pages 115--126
\crossref{https://doi.org/10.1007/s10958-015-2297-5}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-84953355776}
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