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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2009 Volume 368, Pages 75–94 (Mi znsl3504)

This article is cited 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

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.

UDC: 519

Received: 30.10.2009


 English version:
Journal of Mathematical Sciences (New York), 2010, 167:4, 474–485

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