A. N. Borodin, “Distributions of functionals of diffusions with jumps stopped at random moments”, Zap. Nauchn. Sem. POMI, 2013, Volume 420,Pages <nobr>5

Distributions of functionals of diffusions with jumps stopped at random moments

A. N. Borodin^ab

^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

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.

UDC: 519

Received: 15.10.2013