Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace Transforms
Joint Authors
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-02-02
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
We consider the two-sided first-exit problem for a jump process having jumps with rational Laplace transform.
We derive the joint distribution of the first passage time to two-sided barriers and the value of process at the first passage time.
As applications, we present explicit expressions of the dividend formulae for barrier strategy and threshold strategy.
American Psychological Association (APA)
Wen, Yuzhen& Yin, Chuancun. 2014. Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace Transforms. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-10.
https://search.emarefa.net/detail/BIM-1033978
Modern Language Association (MLA)
Wen, Yuzhen& Yin, Chuancun. Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace Transforms. Abstract and Applied Analysis No. 2014 (2014), pp.1-10.
https://search.emarefa.net/detail/BIM-1033978
American Medical Association (AMA)
Wen, Yuzhen& Yin, Chuancun. Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace Transforms. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-10.
https://search.emarefa.net/detail/BIM-1033978
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1033978