Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions (Q3391780)
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scientific article; zbMATH DE number 5594619
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| English | Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions |
scientific article; zbMATH DE number 5594619 |
Statements
Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions (English)
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13 August 2009
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risk process
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ruin problem
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jump-diffusion with negative jumps
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Wong-Pearson diffusion
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first time passage problem
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0.7951531410217285
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0.7386850118637085
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0.7291674017906189
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0.7251564264297485
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