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

被引：4

作者：

Chen, Yu-Ting ^{[1
]}

Sheu, Yuan-Chung ^{[2
]}

Chang, Ming-Chi ^{[2
]}

机构：

[1] Univ British Columbia, Dept Math, Vancouver, BC, Canada

[2] Natl Chiao Tung Univ, Dept Appl Math, Hsinchu, Taiwan

来源：

ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2013年 / 18卷

关键词：

Hyper-exponential jump-diffusion process; two-sided exit problem; first passage functional;

D O I：

10.1214/ECP.v18-2017

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

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.

引用

页码：1 / 8

页数：8

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