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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, John Wiley & Sons, vol. 2014(1).
    • Handle: RePEc:wly:jnlaaa:v:2014:y:2014:i:1:n:747262
    DOI: 10.1155/2014/747262
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