標題: | ON THE DISCOUNTED PENALTY AT RUIN IN A JUMP-DIFFUSION MODEL |
作者: | Chen, Yu-Ting Sheu, Yuan-Chung 應用數學系 Department of Applied Mathematics |
關鍵字: | Jump diffusion;Integro-differential equation;Discounted penalty |
公開日期: | 1-八月-2010 |
摘要: | In this paper, we study the discounted penalty in a perturbed compound Poisson model with two sided jumps. We prove second-order regularity of this function and investigate its asymptotic behavior at infinity Next, based on Boyarchenko and Levendorskii (2002), we justify an integro-differential equation for the discounted penalty. |
URI: | http://hdl.handle.net/11536/5122 |
ISSN: | 1027-5487 |
期刊: | TAIWANESE JOURNAL OF MATHEMATICS |
Volume: | 14 |
Issue: | 4 |
起始頁: | 1337 |
結束頁: | 1350 |
顯示於類別: | 期刊論文 |