Exit identities for diffusion processes observed at Poisson arrival times

DOI10.1007/S11464-020-0839-8zbMATH Open1451.60092OpenAlexW3033302228MaRDI QIDQ777097FDOQ777097

Authors Ye Chen, Yingqiu Li, Shilin Wang, Zhao-Hui Peng

Publication date 3 July 2020

Published in Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11464-020-0839-8

zbMATH Keywords

Brownian motionexit problemPoisson arrival timetime-homogeneous diffusion process

Mathematics Subject Classification ID

Diffusion processes (60J60) Sample path properties (60G17)

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Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• A joint Laplace transform for pre-exit diffusion of occupation times
• An occupation time related potential measure for diffusion processes
• Diffusion Processes in One Dimension
• Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory
• Exit identities for Lévy processes observed at Poisson arrival times
• Exit problems for jump processes with applications to dividend problems
• Introductory lectures on fluctuations of Lévy processes with applications.
• Occupation and local times for skew Brownian motion with applications to dispersion across an interface
• On pre-exit joint occupation times for spectrally negative Lévy processes
• On the constructions of the skew Brownian motion
• On the last exit times for spectrally negative Lévy processes
• Randomized observation periods for the compound Poisson risk model: the discounted penalty function
• Randomized onservation periods for the compound Poisson risk model: dividends
• The optimal dividend barrier in the gamma-omega model
• Two-sided discounted potential measures for spectrally negative Lévy processes

Cited in

(5)

• Joint occupation times in an infinite interval for spectrally negative Lévy processes on the last exit time
• Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
• Solutions for Poissonian stopping problems of linear diffusions via extremal processes
• Occupation times for spectrally negative Lévy processes on the last exit time
• Exit identities for Lévy processes observed at Poisson arrival times

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