標題: A note on first passage functionals for hyper-exponential jump-diffusion processes
作者: Chen, Yu-Ting
Sheu, Yuan-Chung
Chang, Ming-Chi
應用數學系
Department of Applied Mathematics
關鍵字: Hyper-exponential jump-diffusion process;two-sided exit problem;first passage functional
公開日期: 4-一月-2013
摘要: This investigation concerns the hyper-exponential jump-diffusion processes. Following the exposition of the two-sided exit problem by Kyprianou [10] and Asmussen and Albrecher [1], this study investigates first passage functionals for these processes. The corresponding boundary value problems are solved to obtain an explicit formula for the first passage functionals.
URI: http://dx.doi.org/10.1214/ECP.v18-2017
http://hdl.handle.net/11536/21057
ISSN: 1083-589X
DOI: 10.1214/ECP.v18-2017
期刊: ELECTRONIC COMMUNICATIONS IN PROBABILITY
Volume: 18
Issue: 
起始頁: 1
結束頁: 8
顯示於類別:期刊論文