S. G. Kou and H. Wang, “First Passage Times of a Jump Diffusion Process,” Advances in Applied Probability, Vol. 35, No. 2, 2003, pp. 504-531. doi:10.1239/aap/1051201658
has been cited by the following article:
TITLE: Two-Sided First Exit Problem for Jump Diffusion Distribution Processes Having Jumps with a Mixture of Erlang
AUTHORS: Yuzhen Wen, Chuancun Yin
KEYWORDS: First Exit Time; Two-Sided Jumps; Jump Diffusion Process; Overshoot
JOURNAL NAME: Applied Mathematics, Vol.4 No.8, July 30, 2013
ABSTRACT: In this paper, we consider the two-sided first exit problem for jump diffusion processes having jumps with rational Laplace transforms. We investigate the probabilistic property of conditional memorylessness, and drive the joint distribution of the first exit time from an interval and the overshoot over the boundary at the exit time.