Geodesic
Distributions of functionals of special diffusions with jumps
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 21, Tome 431 (2014), pp. 37-55

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The paper deals with the methods of computations of distributions of functionals of special diffusions with jumps. For a traditional class of diffusions with jumps the moments of jumps correspond to that of the Poisson process. The position at the moment of the jump can be arbitrary. We consider diffusions with such moments of jumps at which the position of the diffusion has a particular finite set of values. Such moments, for example, are the first exit time from an interval, the moment inverse to the diffusion local time or the minimum of inverse local times at different levels. 
@article{ZNSL_2014_431_a2,
     author = {A. N. Borodin},
     title = {Distributions of functionals of special diffusions with jumps},
     journal = {Zapiski Nauchnykh Seminarov POMI},
     pages = {37--55},
     publisher = {mathdoc},
     volume = {431},
     year = {2014},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZNSL_2014_431_a2/}
}
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A. N. Borodin. Distributions of functionals of special diffusions with jumps. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 21, Tome 431 (2014), pp. 37-55. http://geodesic.mathdoc.fr/item/ZNSL_2014_431_a2/