A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms
type: Item
instance of: scholarly article
title: A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms
zbMATH Open document ID: 1470.60233
DOI: 10.1155/2016/5914657
published in: Abstract and Applied Analysis
publication date: 2018-08-30T00:00:00Z
review text: Summary: This paper investigates the two-sided first exit problem for a jump process having jumps with rational Laplace transform. The corresponding boundary value problem is solved to obtain an explicit formula for the first passage functional. Also, we derive the distribution of the first passage time to two-sided barriers and the value at the first passage time.
Mathematics Subject Classification ID: 60J74
Mathematics Subject Classification ID: 60G17
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 6929378
Wikidata QID: Q59121543
author: Djilali Ait Aoudia
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2016/5914657
OpenAlex ID: W2533717175
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description: scientific article; zbMATH DE number 6929378