A Generalized Renewal Equation for Perturbed Compound Poisson Processes with Two-Sided Jumps

DOI10.1080/07362990903136421zbMath1176.60076OpenAlexW2049452012MaRDI QIDQ3182400

Yuan-Chung Sheu, Yu-Ting Chen

Publication date: 8 October 2009

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990903136421

zbMATH Keywords

renewal equationperpetual American optiondiscounted penaltyperturbed compound Poisson process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44)

Cites Work

• Risk theory for the compound Poisson process that is perturbed by diffusion
• An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• Optimal stopping and perpetual options for Lévy processes
• Optimal capital structure and endogenous default
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• Russian and American put options under exponential phase-type Lévy models.
• Option pricing when underlying stock returns are discontinuous
• Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms

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