The first passage time and the dividend value function for one-dimensional diffusion processes between two reflecting barriers

DOI10.1155/2012/971212zbMath1260.60164OpenAlexW2132012931WikidataQ58689595 ScholiaQ58689595MaRDI QIDQ1929687

Huiqing Wang, Chuan-Cun Yin

Publication date: 9 January 2013

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/971212

zbMATH Keywords

Itô formulareflecting barriersapplications to risk theorytime-homogeneous regular diffusion process

Mathematics Subject Classification ID

Related Items (5)

On first hitting times for skew CIR processes ⋮ On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media ⋮ One-Dimensional Reflected Diffusions with Two Boundaries and an Inverse First-Hitting Problem ⋮ On the transition density and first hitting time distributions of the doubly skewed CIR process ⋮ The exit time and the dividend value function for one-dimensional diffusion processes

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• Optimal Dividends

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