Exit problems for jump processes having double-sided jumps with rational Laplace transforms

DOI10.1155/2014/747262zbMath1474.60189OpenAlexW2067086400WikidataQ59041195 ScholiaQ59041195MaRDI QIDQ1724885

Yuzhen Wen, Chuan-Cun Yin

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/747262

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sample path properties (60G17) Jump processes on general state spaces (60J76)

Related Items (4)

Strong convergence in the \(p\)th-mean of an averaging principle for two-time-scales SPDEs with jumps ⋮ Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps ⋮ The first passage time problem for mixed-exponential jump processes with applications in insurance and finance ⋮ Escape probabilities from an interval for compound Poisson processes with drift

Cites Work

• Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
• On the distribution of exponential functionals for Lévy processes with jumps of rational transform
• On first passage times of a hyper-exponential jump diffusion process
• Exit problems for jump processes with applications to dividend problems
• Contributions to the theory of first-exit times of some compound processes in queueing theory
• On the threshold dividend strategy for a generalized jump-diffusion risk model
• On several two-boundary problems for a particular class of Lévy processes
• First passage times of a jump diffusion process
• First-exit times for compound poisson processes for some types of positive and negative jumps
• Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms

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