On first passage times of sticky reflecting diffusion processes with double exponential jumps
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DOI: 10.1017/jpr.2019.93
Abstract: Abstract We explore the first passage problem for sticky reflecting diffusion processes with double exponential jumps. The joint Laplace transform of the first passage time to an upper level and the corresponding overshoot is studied.… read more here.
Keywords: sticky reflecting; reflecting diffusion; diffusion; processes double ... See more keywords