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dc.contributor.authorChen, Yu-Tingen_US
dc.contributor.authorSheu, Yuan-Chungen_US
dc.contributor.authorChang, Ming-Chien_US
dc.date.accessioned2019-04-03T06:42:48Z-
dc.date.available2019-04-03T06:42:48Z-
dc.date.issued2013-01-04en_US
dc.identifier.issn1083-589Xen_US
dc.identifier.urihttp://dx.doi.org/10.1214/ECP.v18-2017en_US
dc.identifier.urihttp://hdl.handle.net/11536/21057-
dc.description.abstractThis 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.en_US
dc.language.isoen_USen_US
dc.subjectHyper-exponential jump-diffusion processen_US
dc.subjecttwo-sided exit problemen_US
dc.subjectfirst passage functionalen_US
dc.titleA note on first passage functionals for hyper-exponential jump-diffusion processesen_US
dc.typeArticleen_US
dc.identifier.doi10.1214/ECP.v18-2017en_US
dc.identifier.journalELECTRONIC COMMUNICATIONS IN PROBABILITYen_US
dc.citation.volume18en_US
dc.citation.spage1en_US
dc.citation.epage8en_US
dc.contributor.department應用數學系zh_TW
dc.contributor.departmentDepartment of Applied Mathematicsen_US
dc.identifier.wosnumberWOS:000313327000001en_US
dc.citation.woscount1en_US
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