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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| Format: | Article |
| Language: | English |
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Wiley
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/747262 |
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| _version_ | 1832561660358819840 |
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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. |
| format | Article |
| id | doaj-art-b834a3f329d44552a2d41dc4dbcc51fd |
| 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 |
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