<link rel="stylesheet" href="styles.cf390c6bfbe7555f.css">

Browsing by Author "Chang, Ming-Chi"

Now showing 1 - 2 of 2
  • Thumbnail Image
    Item type:Item,
    A note on first passage functionals for hyper-exponential jump-diffusion processes
    (2013-01-04)
    Chen, Yu-Ting
    ;
    Sheu, Yuan-Chung
    ;
    Chang, Ming-Chi
    ;
    應用數學系
    ;
    Department of Applied Mathematics
    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.
  • Thumbnail Image
    Item type:Item,
    Free boundary problems and perpetual American strangles
    (2013-08-01)
    Chang, Ming-Chi
    ;
    Sheu, Yuan-Chung
    ;
    應用數學系
    ;
    Department of Applied Mathematics