The expected discounted penalty function of a Cox risk process perturbed by a diffusion in a Markovian environment

MaRDI QIDQ3537236zbMATH OpenFDO

Authors Xiangzeng Liu, Xuanmin Zhao, Zheng Tian, Yan Zhang

Publication date 24 November 2008

zbMATH Keywords

integral function

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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