A note on first passage functionals for hyper-exponential jump-diffusion processes

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DC Field	Value	Language
dc.contributor.author	Chen, Yu-Ting	en_US
dc.contributor.author	Sheu, Yuan-Chung	en_US
dc.contributor.author	Chang, Ming-Chi	en_US
dc.date.accessioned	2019-04-03T06:42:48Z	-
dc.date.available	2019-04-03T06:42:48Z	-
dc.date.issued	2013-01-04	en_US
dc.identifier.issn	1083-589X	en_US
dc.identifier.uri	http://dx.doi.org/10.1214/ECP.v18-2017	en_US
dc.identifier.uri	http://hdl.handle.net/11536/21057	-
dc.description.abstract	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.	en_US
dc.language.iso	en_US	en_US
dc.subject	Hyper-exponential jump-diffusion process	en_US
dc.subject	two-sided exit problem	en_US
dc.subject	first passage functional	en_US
dc.title	A note on first passage functionals for hyper-exponential jump-diffusion processes	en_US
dc.type	Article	en_US
dc.identifier.doi	10.1214/ECP.v18-2017	en_US
dc.identifier.journal	ELECTRONIC COMMUNICATIONS IN PROBABILITY	en_US
dc.citation.volume	18	en_US
dc.citation.spage	1	en_US
dc.citation.epage	8	en_US
dc.contributor.department	應用數學系	zh_TW
dc.contributor.department	Department of Applied Mathematics	en_US
dc.identifier.wosnumber	WOS:000313327000001	en_US
dc.citation.woscount	1	en_US
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