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A note on first passage functionals for hyper-exponential jump-diffusion processes. (English) Zbl 1307.60112
Summary: This investigation concerns the hyper-exponential jump-diffusion processes. Following the exposition of the two-sided exit problem by A. E. Kyprianou [Introductory lectures on fluctuations of Lévy processes with applications. Berlin: Springer (2006; Zbl 1104.60001)], S. Asmussen and H. Albrecher [Ruin probabilities. 2nd ed. Hackensack, NJ: World Scientific (2010; Zbl 1247.91080)], 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.

60J75 Jump processes (MSC2010)
60J60 Diffusion processes
91G80 Financial applications of other theories
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