On the distribution of a randomly discounted compound Poisson process

Trygve Nilsen and Jostein Paulsen

Stochastic Processes and their Applications, 1996, vol. 61, issue 2, 305-310

Abstract: We study the distribution of the stochastic integral [integral operator]0t8e-Rt dPt where R is a Brownian motion with positive drift and P is an independent compound Poisson process. We show that in the special case when the jumps of P are exponentially distributed, the integral has the same distribution as that of a gamma variable divided by an independent beta variable.

Keywords: Compound; Poisson; process; Brownian; motion; Laplace; transform; Hypergeometric; differential; equation (search for similar items in EconPapers)
Date: 1996
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0304-4149(95)00076-3
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:61:y:1996:i:2:p:305-310

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().