The Exit Time and the Dividend Value Function for One-Dimensional Diffusion Processes
We investigate the exit times from an interval for a general one-dimensional time-homogeneous diffusion process and their applications to the dividend problem in risk theory. Specifically, we first use Dynkin’s formula to derive the ordinary differential equations satisfied by the Laplace transform...
| Published in: | Abstract and Applied Analysis |
|---|---|
| Main Authors: | , , |
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2013-01-01
|
| Online Access: | http://dx.doi.org/10.1155/2013/675202 |