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 |
起始頁: | 1 |
結束頁: | 8 |
顯示於類別: | 期刊論文 |