The first passage time and the dividend value function for one-dimensional diffusion processes between two reflecting barriers
type: Item
instance of: scholarly article
title: The first passage time and the dividend value function for one-dimensional diffusion processes between two reflecting barriers
zbMATH Open document ID: 1260.60164
DOI: 10.1155/2012/971212
author: Huiqing Wang
author: Chuancun Yin
published in: International Journal of Stochastic Analysis
publication date: 2013-01-09T00:00:00Z
review text: Summary: We consider the general one-dimensional time-homogeneous regular diffusion process between two reflecting barriers. An approach based on the Itô formula with corresponding boundary conditions allows us to derive the differential equations with boundary conditions for the Laplace transform of the first passage time and the value function. As examples, the explicit solutions of them for several popular diffusions are obtained. In addition, some applications to risk theory are considered.
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6123601
zbMATH Keywords: reflecting barriers
zbMATH Keywords: time-homogeneous regular diffusion process
zbMATH Keywords: Itô formula
zbMATH Keywords: applications to risk theory
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2012/971212
OpenAlex ID: W2132012931
Wikidata QID: Q58689595
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description: scientific article; zbMATH DE number 6123601