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

DOI10.1155/2012/971212zbMath1260.60164WikidataQ58689595 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 formula; reflecting barriers; applications to risk theory; time-homogeneous regular diffusion process

Mathematics Subject Classification ID

60J60: Diffusion processes

Related Items

On first hitting times for skew CIR processes, On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media, 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, One-Dimensional Reflected Diffusions with Two Boundaries and an Inverse First-Hitting Problem

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