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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2007 Volume 351, Pages 101–116 (Mi znsl28)

On distributions of passage times of Brownian motion with jumps

A. N. Borodin


Abstract: Brownian motion with jumps that is the sum of Brownian motion and compound Poisson process is considered. It is assumed that the distribution of jumps is symmetric exponential. The formula for the Laplace transform of the distribution of time spend by Brownian motion with jumps upper than some level is obtained.

UDC: 519.21

Received: 01.12.2007


 English version:
Journal of Mathematical Sciences (New York), 2008, 152:6, 853–861

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© Steklov Math. Inst. of RAS, 2024