Distributions of the location of maximuma and minimuma for diffusions with jumps |
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| Authors: | A. N. Borodin |
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| Affiliation: | 1.St. Petersburg Department of Steklov Mathematical Institute,St. Petersburg,Russia |
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| Abstract: | The paper deals with methods of computation of distributions of location for maxima and minima for diffusions with jumps. As an example, we obtain explicit formulas for distributions of location for the maximum of the process which is equal to the sum of a Brownian motion and the compound Poisson process. Bibliography: 8 titles. |
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