Geodesic
Distributions of functionals of diffusions with jumps
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 9, Tome 328 (2005), pp. 27-41

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The paper deals with methods of computation of distributions of functionals of a diffusion process with jumps that occur in accordance with the compound Poisson process. For symmetric processes some exact formulae concerning the first exit time are derived. 
@article{ZNSL_2005_328_a2,
     author = {A. N. Borodin},
     title = {Distributions of functionals of diffusions with jumps},
     journal = {Zapiski Nauchnykh Seminarov POMI},
     pages = {27--41},
     publisher = {mathdoc},
     volume = {328},
     year = {2005},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZNSL_2005_328_a2/}
}
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A. N. Borodin. Distributions of functionals of diffusions with jumps. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 9, Tome 328 (2005), pp. 27-41. http://geodesic.mathdoc.fr/item/ZNSL_2005_328_a2/