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

Yu-Ting Chen (University of British Columbia)
Yuan-Chung Sheu (National Chiao Tung University)
Ming-Chi Chang (National Chiao Tung University)

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.

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Pages: 1-8

Publication Date: January 4, 2013

DOI: 10.1214/ECP.v18-2017

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