Exit problems for jump processes with applications to dividend problems

DOI10.1016/j.cam.2012.12.004zbMath1267.91076OpenAlexW1998637290MaRDI QIDQ1947488

Yuzhen Wen, Ying Shen, Chuan-Cun Yin

Publication date: 22 April 2013

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.12.004

zbMATH Keywords

first passage timebarrier strategydividend paymentjump diffusionthreshold strategyhyper-exponential distribution

Mathematics Subject Classification ID

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