A note on some new perpetuities

DOI10.1080/03461230510009772zbMath1142.91038OpenAlexW2075268383MaRDI QIDQ3440862

Wim Schoutens, Marc Decamps, Ann De Schepper, Marc J. Goovaerts

Publication date: 29 May 2007

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230510009772

zbMATH Keywords

spectral theorylocal timeperpetuitiesBessel processesskew Brownian motion

Mathematics Subject Classification ID

Related Items (5)

EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT ⋮ Timing in the presence of directional predictability: optimal stopping of skew Brownian motion ⋮ A simple trinomial lattice approach for the skew-extended CIR models ⋮ Arbitrage in skew Brownian motion models ⋮ Simulating diffusions with piecewise constant coefficients using a kinetic approximation

Cites Work

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• Perpetual integral functionals as hitting and occupation times
• On skew Brownian motion
• The Laplace transform of annuities certain with exponential time distribution
• Martingales, scale functions and stochastic life annuities: A note
• The present value of a stochastic perpetuity and the gamma distribution
• “Skew-Brownian Motion” and Derived Processes
• Sur certaines fonctionnelles exponentielles du mouvement brownien réel
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• Exponential functionals of Brownian motion and related processes

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