The Exit Time and the Dividend Value Function for One-Dimensional Diffusion Processes
Joint Authors
Zhou, Ming
Li, Peng
Yin, Chuancun
Source
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-11-20
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
We investigate the exit times from an interval for a general one-dimensional time-homogeneous diffusion process and their applications to the dividend problem in risk theory.
Specifically, we first use Dynkin’s formula to derive the ordinary differential equations satisfied by the Laplace transform of the exit times.
Then, as some examples, we solve the closed-form expression of the Laplace transform of the exit times for several popular diffusions, which are commonly used in modelling of finance and insurance market.
Most interestingly, as the applications of the exit times, we create the connect between the dividend value function and the Laplace transform of the exit times.
Both the barrier and threshold dividend value function are clearly expressed in terms of the Laplace transform of the exit times.
American Psychological Association (APA)
Li, Peng& Yin, Chuancun& Zhou, Ming. 2013. The Exit Time and the Dividend Value Function for One-Dimensional Diffusion Processes. Abstract and Applied Analysis،Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-489572
Modern Language Association (MLA)
Li, Peng…[et al.]. The Exit Time and the Dividend Value Function for One-Dimensional Diffusion Processes. Abstract and Applied Analysis No. 2013 (2013), pp.1-9.
https://search.emarefa.net/detail/BIM-489572
American Medical Association (AMA)
Li, Peng& Yin, Chuancun& Zhou, Ming. The Exit Time and the Dividend Value Function for One-Dimensional Diffusion Processes. Abstract and Applied Analysis. 2013. Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-489572
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-489572