Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace Transforms
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 d...
| Published in: | Abstract and Applied Analysis |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
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| Online Access: | http://dx.doi.org/10.1155/2014/747262 |