Exit problems for jump processes having double-sided jumps with rational Laplace transforms (Q1724885)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Exit problems for jump processes having double-sided jumps with rational Laplace transforms |
scientific article |
Statements
Exit problems for jump processes having double-sided jumps with rational Laplace transforms (English)
0 references
14 February 2019
0 references
Summary: We consider the two-sided first-exit problem for a jump process having jumps with rational Laplace transform. We derive the joint distribution of the first passage time to two-sided barriers and the value of process at the first passage time. As applications, we present explicit expressions of the dividend formulae for barrier strategy and threshold strategy.
0 references
0 references
0 references
0 references
0 references