Distributions of functionals of diffusions with jumps stopped at the location of the maximum or minimum

The paper deals with methods of computation of distributions of integral functionals of diffusions with jumps at time moments at which the maximal and minimal values of diffusions are achieved. As an example, we obtain closed-form expressions for the Laplace transform of joint locations of the minimum and maximum of a process that equals the sum of a Brownian motion and the compound Poisson process. Bibliography: 7 titles.