Geodesic
On first exit time from an interval for diffusions with jumps
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 14–2, Tome 364 (2009), pp. 70-87 Cet article a éte moissonné depuis la source Math-Net.Ru

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The paper deals with the methods of computations of distributions of functionals of diffusion with jumps, stopped at the first exit time from an interval. For diffusions with jumps the first exit time can occur aither by means of crossings the boundary or by jumping over it. In this connection it is possible to mention three classes of results. The first concerns to the case, when it is not distinguished the way of the first exit from an interval. The second related to the case when the first exit time occurs by means of crossing the boundary. At last the third type of results concerns the case, when the first exit time occurs by means of jump over the boundary. In this case it is necessary to take into account the value of the jump. Bibl. – 8 titles. 
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A. N. Borodin. On first exit time from an interval for diffusions with jumps. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 14–2, Tome 364 (2009), pp. 70-87. http://geodesic.mathdoc.fr/item/ZNSL_2009_364_a2/

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