The density of a passage time for a renewal-reward process perturbed by a diffusion (Q1761575)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: The density of a passage time for a renewal-reward process perturbed by a diffusion |
scientific article; zbMATH DE number 6107005
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The density of a passage time for a renewal-reward process perturbed by a diffusion |
scientific article; zbMATH DE number 6107005 |
Statements
The density of a passage time for a renewal-reward process perturbed by a diffusion (English)
0 references
15 November 2012
0 references
The authors propose a formula to express the density of a passage time for renewal-reward processes perturbed by a Brownian motion. Simulations of the formula are performed, and applications to actuarial sciences and mathematical finance are suggested.
0 references
renewal-reward process
0 references
Brownian motion
0 references
jump-diffusion process
0 references
passage time renewal-reward process
0 references
density of a passage time
0 references
