Two-sided boundary problem for Kou's process

Ie.V. Karnaukh (Oles Honchar Dnipropetrovsk National University)


In this paper the distributions of two-sided boundary functionals for double exponential jump diffusion processes are treated.


Kou’s model; jump-diffusion process; two-sided boundary functionals


Kou S.G. "First passage times of a jump diffusion process", Adv. Appl. Prob., 2003; 35: pp. 504-531.

Husak D. Processes with Independent Increments in Risk Theory, Institute of Mathematics of the NAS of Ukraine, Kyiv, 2011. (in Ukrainian)

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Gihman I., Skorohod A. The theory of stochastic processes II, Springer-Verlag, New York, 1975.




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ISSN (Online): 2664-5009
ISSN (Print): 2664-4991