Abstract and Applied Analysis

Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace Transforms

Yuzhen Wen and Chuancun Yin

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We consider the two-sided first-exit problem for a jump process having jumps with rational Laplace transform. We derive the joint distribution of the first passage time to two-sided barriers and the value of process at the first passage time. As applications, we present explicit expressions of the dividend formulae for barrier strategy and threshold strategy.

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Abstr. Appl. Anal., Volume 2014, Special Issue (2013), Article ID 747262, 10 pages.

First available in Project Euclid: 2 October 2014

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Wen, Yuzhen; Yin, Chuancun. Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace Transforms. Abstr. Appl. Anal. 2014, Special Issue (2013), Article ID 747262, 10 pages. doi:10.1155/2014/747262. https://projecteuclid.org/euclid.aaa/1412279745

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