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2013 A note on first passage functionals for hyper-exponential jump-diffusion processes
Yu-Ting Chen, Yuan-Chung Sheu, Ming-Chi Chang
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Electron. Commun. Probab. 18: 1-8 (2013). DOI: 10.1214/ECP.v18-2017

Abstract

This investigation concerns the hyper-exponential jump-diffusion processes. Following the exposition of the two-sided exit problem by Kyprianou, A. E., and Asmussen, S. and Albrecher, H., this study investigates first passage functionals for these processes.The corresponding boundary value problems are solved to obtain an explicit formula for the first passage functionals.<br />

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Yu-Ting Chen. Yuan-Chung Sheu. Ming-Chi Chang. "A note on first passage functionals for hyper-exponential jump-diffusion processes." Electron. Commun. Probab. 18 1 - 8, 2013. https://doi.org/10.1214/ECP.v18-2017

Information

Accepted: 4 January 2013; Published: 2013
First available in Project Euclid: 7 June 2016

zbMATH: 1307.60112
MathSciNet: MR3011529
Digital Object Identifier: 10.1214/ECP.v18-2017

Subjects:
Primary: 60J75
Secondary: 91G99

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