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