The density of a passage time for a renewal-reward process perturbed by a diffusion (Q1761575)
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| Language | Label | Description | Also known as |
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| English | The density of a passage time for a renewal-reward process perturbed by a diffusion |
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The density of a passage time for a renewal-reward process perturbed by a diffusion (English)
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15 November 2012
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The authors propose a formula to express the density of a passage time for renewal-reward processes perturbed by a Brownian motion. Simulations of the formula are performed, and applications to actuarial sciences and mathematical finance are suggested.
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renewal-reward process
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Brownian motion
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jump-diffusion process
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passage time renewal-reward process
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density of a passage time
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