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dc.contributor.author許元春en_US
dc.contributor.authorSHEU YUAN-CHUNGen_US
dc.date.accessioned2014-12-13T10:50:01Z-
dc.date.available2014-12-13T10:50:01Z-
dc.date.issued2008en_US
dc.identifier.govdocNSC97-2628-M009-014zh_TW
dc.identifier.urihttp://hdl.handle.net/11536/101928-
dc.identifier.urihttps://www.grb.gov.tw/search/planDetail?id=1677899&docId=288733en_US
dc.description.abstract考慮一個 Lêvy 過程,其跳躍分佈是矩陣指數型分佈。我們用 Feynman-kac 邊界值問題來處理關於此過程第一次離開任何開集合的泛函 問題。我們用ODE 方法來解此邊界值問題並且研究其在財務方面的應用。zh_TW
dc.description.abstractConsider a jump diffusion process whose drift function and volatility function is state-dependent and jumps are determined by a state-independent two-sided matrix exponential distribution. We propose the Feynman-Kac boundary value problem for a general first exit function of the process from an open set. We will tackle this boundary value problem via an ODE method. Many interesting financial applications of our approach are expected and our work will generalize those in Asmussen et al.(2004), Chen et al.(2007) and many others.en_US
dc.description.sponsorship行政院國家科學委員會zh_TW
dc.language.isozh_TWen_US
dc.title矩陣指數跳躍下Levy過程通過時間之研究zh_TW
dc.titleFirst Passage for Levyprocesses with Matrix Exponential Jumpsen_US
dc.typePlanen_US
dc.contributor.department國立交通大學應用數學系(所)zh_TW
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