exit problems for jump processes having double-sided jumps with rational laplace transforms
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2014
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Abstract
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.
| Reference Key |
wen2014abstractexit
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|---|---|
| Authors | ;Yuzhen Wen;Chuancun Yin |
| Journal | science and technology of advanced materials |
| Year | 2014 |
| DOI |
10.1155/2014/747262
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| URL | |
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