Geodesic
Distributions of functionals of diffusions with jumps connected with the location of the maximum or minimum
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 16, Tome 384 (2010), pp. 78-104

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The paper deals with methods of computations of distributions of integral functionals of diffusions with jumps at the time moments, in which the maximum and the minimum values of diffusions are achieved. As an example an explicit formulas for the Laplace transform of joint locations of minimum and maximum of the process equal the sum of Brownian motion and the compound Poisson process are obtained. Bibl. 7 titles. 
@article{ZNSL_2010_384_a4,
     author = {A. N. Borodin},
     title = {Distributions of functionals of diffusions with jumps connected with the location of the maximum or minimum},
     journal = {Zapiski Nauchnykh Seminarov POMI},
     pages = {78--104},
     publisher = {mathdoc},
     volume = {384},
     year = {2010},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZNSL_2010_384_a4/}
}
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A. N. Borodin. Distributions of functionals of diffusions with jumps connected with the location of the maximum or minimum. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 16, Tome 384 (2010), pp. 78-104. http://geodesic.mathdoc.fr/item/ZNSL_2010_384_a4/