Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions
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Publication:3391780
DOI10.1080/07362990902976611zbMath1175.91083OpenAlexW2026989317MaRDI QIDQ3391780
Landy Rabehasaina, Florin Avram, Nikolai N. Leonenko
Publication date: 13 August 2009
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990902976611
risk processruin problemfirst time passage problemjump-diffusion with negative jumpsWong-Pearson diffusion
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