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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.

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