Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace Transforms

We consider the two-sided first-exit problem for a jump process having jumps with rational Laplace transform. We derive the joint distribution of the first passage time to two-sided barriers and the value of process at the first passage time. As applications, we present explicit expressions of the d...

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Main Authors: Yuzhen Wen, Chuancun Yin
Format: Article
Language:English
Published: Wiley 2014-01-01
Series:Abstract and Applied Analysis
Online Access:http://dx.doi.org/10.1155/2014/747262
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author Yuzhen Wen
Chuancun Yin
author_facet Yuzhen Wen
Chuancun Yin
author_sort Yuzhen Wen
collection DOAJ
description We consider the two-sided first-exit problem for a jump process having jumps with rational Laplace transform. We derive the joint distribution of the first passage time to two-sided barriers and the value of process at the first passage time. As applications, we present explicit expressions of the dividend formulae for barrier strategy and threshold strategy.
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institution Kabale University
issn 1085-3375
1687-0409
language English
publishDate 2014-01-01
publisher Wiley
record_format Article
series Abstract and Applied Analysis
spelling doaj-art-b834a3f329d44552a2d41dc4dbcc51fd2025-02-03T01:24:31ZengWileyAbstract and Applied Analysis1085-33751687-04092014-01-01201410.1155/2014/747262747262Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace TransformsYuzhen Wen0Chuancun Yin1School of Mathematical Sciences, Qufu Normal University, Qufu, Shandong 273165, ChinaSchool of Mathematical Sciences, Qufu Normal University, Qufu, Shandong 273165, ChinaWe consider the two-sided first-exit problem for a jump process having jumps with rational Laplace transform. We derive the joint distribution of the first passage time to two-sided barriers and the value of process at the first passage time. As applications, we present explicit expressions of the dividend formulae for barrier strategy and threshold strategy.http://dx.doi.org/10.1155/2014/747262
spellingShingle Yuzhen Wen
Chuancun Yin
Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace Transforms
Abstract and Applied Analysis
title Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace Transforms
title_full Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace Transforms
title_fullStr Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace Transforms
title_full_unstemmed Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace Transforms
title_short Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace Transforms
title_sort exit problems for jump processes having double sided jumps with rational laplace transforms
url http://dx.doi.org/10.1155/2014/747262
work_keys_str_mv AT yuzhenwen exitproblemsforjumpprocesseshavingdoublesidedjumpswithrationallaplacetransforms
AT chuancunyin exitproblemsforjumpprocesseshavingdoublesidedjumpswithrationallaplacetransforms