Electronic Communications in Probability

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

Yu-Ting Chen, Yuan-Chung Sheu, and Ming-Chi Chang

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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 />

Article information

Source
Electron. Commun. Probab., Volume 18 (2013), paper no. 2, 8 pp.

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

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465315541

Digital Object Identifier
doi:10.1214/ECP.v18-2017

Mathematical Reviews number (MathSciNet)
MR3011529

Zentralblatt MATH identifier
1307.60112

Subjects
Primary: 60J75: Jump processes
Secondary: 91G99: None of the above, but in this section

Keywords
Hyper-exponential jump-diffusion process two-sided exit problem first passage functional

Rights
This work is licensed under a Creative Commons Attribution 3.0 License.

Citation

Chen, Yu-Ting; Sheu, Yuan-Chung; Chang, Ming-Chi. A note on first passage functionals for hyper-exponential jump-diffusion processes. Electron. Commun. Probab. 18 (2013), paper no. 2, 8 pp. doi:10.1214/ECP.v18-2017. https://projecteuclid.org/euclid.ecp/1465315541


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References

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