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

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  • Yuzhen Wen
  • Chuancun Yin

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.

Suggested Citation

  • Yuzhen Wen & Chuancun Yin, 2014. "Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace Transforms," Abstract and Applied Analysis, Hindawi, vol. 2014, pages 1-10, February.
    • Handle: RePEc:hin:jnlaaa:747262
    DOI: 10.1155/2014/747262
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    Cited by:

    1. Xie, Jiayi & Cui, Zhenyu & Zhang, Zhimin, 2022. "Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps," Applied Mathematics and Computation, Elsevier, vol. 429(C).

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