| Título: | A note on first passage functionals for hyper-exponential jump-diffusion processes |
| Autores: |
Chen, Yu-Ting; University of British Columbia Sheu, Yuan-Chung; National Chiao Tung University Chang, Ming-Chi; National Chiao Tung University |
| Fecha: | 2013-01-03 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: | Peer-reviewed Article |
| Tema: |
Hyper-exponential jump-diffusion process ; two-sided exit problem ; first passage functional 60J75;91G99 |
| Descripción: | This investigation concerns the hyper-exponential jump-diffusion processes. Following the exposition of the two-sided exit problem by Kyprianou, A. E., and Asmussen, S. and Albrecher, H., 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. |
| Idioma: | Inglés |
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