Exit problems for jump processes having double-sided jumps with rational Laplace transforms (Q1724885)
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scientific article; zbMATH DE number 7023009
| Language | Label | Description | Also known as |
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| English | Exit problems for jump processes having double-sided jumps with rational Laplace transforms |
scientific article; zbMATH DE number 7023009 |
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Exit problems for jump processes having double-sided jumps with rational Laplace transforms (English)
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14 February 2019
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Summary: 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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