The First Passage Time and the Dividend Value Function for One-Dimensional Diffusion Processes between Two Reflecting Barriers
Joint Authors
Source
International Journal of Stochastic Analysis
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-10-23
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
We consider the general one-dimensional time-homogeneous regular diffusion process between two reflecting barriers.
An approach based on the Itô formula with corresponding boundary conditions allows us to derive the differential equations with boundary conditions for the Laplace transform of the first passage time and the value function.
As examples, the explicit solutions of them for several popular diffusions are obtained.
In addition, some applications to risk theory are considered.
American Psychological Association (APA)
Yin, Chuancun& Wang, Huiqing. 2012. The First Passage Time and the Dividend Value Function for One-Dimensional Diffusion Processes between Two Reflecting Barriers. International Journal of Stochastic Analysis،Vol. 2012, no. 2012, pp.1-15.
https://search.emarefa.net/detail/BIM-512429
Modern Language Association (MLA)
Yin, Chuancun& Wang, Huiqing. The First Passage Time and the Dividend Value Function for One-Dimensional Diffusion Processes between Two Reflecting Barriers. International Journal of Stochastic Analysis No. 2012 (2012), pp.1-15.
https://search.emarefa.net/detail/BIM-512429
American Medical Association (AMA)
Yin, Chuancun& Wang, Huiqing. The First Passage Time and the Dividend Value Function for One-Dimensional Diffusion Processes between Two Reflecting Barriers. International Journal of Stochastic Analysis. 2012. Vol. 2012, no. 2012, pp.1-15.
https://search.emarefa.net/detail/BIM-512429
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-512429
