The Open Applied Mathematics Journal

2013, 7 : 18-28
Published online 2013 December 30. DOI: 10.2174/1874114201307010018
Publisher ID: TOAMJ-7-18

Investigating the Distribution of the First-Crossing Area of a Diffusion Process with Jumps Over a Threshold

Mario Abundo
Dipartimento di Matematica, Università “Tor Vergata”, via della Ricerca Scientifica, I-00133 Rome, Italy.

ABSTRACT

Full Text Available.

Keywords:

First-crossing time, first-crossing area, one-dimensional jump-diffusion.