Joint Distribution of First-Passage Time and First-Passage Area of Certain Levy Processes

Abundo, M; Furia, S

Abundo, M (reprint author), Univ Tor Vergata, Dipartimento Matemat, Via Ric Sci, I-00133 Rome, Italy.

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2019; 21 (4): 1283

Abstract

Let be X(t) = x - mu t + sigma B-t - N-t a Levy process starting from x > 0, where mu >= 0, sigma >= 0, B-t is a standard BM, and N-t is a ho......

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