A note on first passage functionals for hyper-exponential jump-diffusion processes
| dc.citation.epage | 8 | en_US |
| dc.citation.spage | 1 | en_US |
| dc.citation.volume | 18 | en_US |
| dc.citation.woscount | 1 | en_US |
| 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.contributor.department | 應用數學系 | zh_TW |
| dc.contributor.department | Department of Applied Mathematics | 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.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.identifier.doi | 10.1214/ECP.v18-2017 | en_US |
| dc.identifier.issn | 1083-589X | en_US |
| dc.identifier.journal | ELECTRONIC COMMUNICATIONS IN PROBABILITY | en_US |
| dc.identifier.uri | http://dx.doi.org/10.1214/ECP.v18-2017 | en_US |
| dc.identifier.uri | https://ir.lib.nycu.edu.tw/handle/11536/21057 | |
| dc.identifier.wosnumber | WOS:000313327000001 | 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 |