A Note on First Passage Functionals for Lévy Processes with Jumps of Rational Laplace Transforms
Author
Source
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-10-24
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
This paper investigates the two-sided first exit problem for a jump process having jumps with rational Laplace transform.
The corresponding boundary value problem is solved to obtain an explicit formula for the first passage functional.
Also, we derive the distribution of the first passage time to two-sided barriers and the value at the first passage time.
American Psychological Association (APA)
Ait-Aoudia, Djilali. 2016. A Note on First Passage Functionals for Lévy Processes with Jumps of Rational Laplace Transforms. Abstract and Applied Analysis،Vol. 2016, no. 2016, pp.1-8.
https://search.emarefa.net/detail/BIM-1094759
Modern Language Association (MLA)
Ait-Aoudia, Djilali. A Note on First Passage Functionals for Lévy Processes with Jumps of Rational Laplace Transforms. Abstract and Applied Analysis No. 2016 (2016), pp.1-8.
https://search.emarefa.net/detail/BIM-1094759
American Medical Association (AMA)
Ait-Aoudia, Djilali. A Note on First Passage Functionals for Lévy Processes with Jumps of Rational Laplace Transforms. Abstract and Applied Analysis. 2016. Vol. 2016, no. 2016, pp.1-8.
https://search.emarefa.net/detail/BIM-1094759
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1094759