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A note on first passage functionals for hyper-exponential jump-diffusion processes


 
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1. Title Title of document A note on first passage functionals for hyper-exponential jump-diffusion processes
 
2. Creator Author's name, affiliation, country Yu-Ting Chen; University of British Columbia; Canada
 
2. Creator Author's name, affiliation, country Yuan-Chung Sheu; National Chiao Tung University; Taiwan, Province of China
 
2. Creator Author's name, affiliation, country Ming-Chi Chang; National Chiao Tung University; Taiwan, Province of China
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Hyper-exponential jump-diffusion process ; two-sided exit problem ; first passage functional
 
3. Subject Subject classification 60J75;91G99
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2013-01-04
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/2017
 
10. Identifier Digital Object Identifier 10.1214/ECP.v18-2017
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 18
 
12. Language English=en en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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