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

Yuzhen Wen and Chuancun Yin

Abstract and Applied Analysis, 2014, vol. 2014, 1-10

Abstract:

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.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:747262

DOI: 10.1155/2014/747262

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