Stochastic areas of diffusions and applications

DOI10.1016/j.jmaa.2015.11.055zbMath1409.91132OpenAlexW2184374436MaRDI QIDQ905937

Jingtang Ma, Zhen-Yu Cui

Publication date: 28 January 2016

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2015.11.055

zbMATH Keywords

time-changeomega risk modelrisk model with taxtime-homogeneous diffusionAzema-Yor stopping timeDambis-Dubins-Schwartz Brownian motion

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items

A general framework for time-changed Markov processes and applications ⋮ Omega diffusion risk model with surplus-dependent tax and capital injections

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