A Note on First Passage Functionals for Lévy Processes with Jumps of Rational Laplace Transforms
This paper investigates the two-sided first exit problem for a jump process having jumps with rational Laplace transform. The corresponding boundary value problem is solved to obtain an explicit formula for the first passage functional. Also, we derive the distribution of the first passage time to t...
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| Format: | Article |
| Language: | English |
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Wiley
2016-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2016/5914657 |
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| _version_ | 1832550341487362048 |
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| author | Djilali Ait-Aoudia |
| author_facet | Djilali Ait-Aoudia |
| author_sort | Djilali Ait-Aoudia |
| collection | DOAJ |
| description | This paper investigates the two-sided first exit problem for a jump process having jumps with rational Laplace transform. The corresponding boundary value problem is solved to obtain an explicit formula for the first passage functional. Also, we derive the distribution of the first passage time to two-sided barriers and the value at the first passage time. |
| format | Article |
| id | doaj-art-28a0047c2eaa44759b8d052b93e42b32 |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2016-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-28a0047c2eaa44759b8d052b93e42b322025-02-03T06:07:01ZengWileyAbstract and Applied Analysis1085-33751687-04092016-01-01201610.1155/2016/59146575914657A Note on First Passage Functionals for Lévy Processes with Jumps of Rational Laplace TransformsDjilali Ait-Aoudia0Département de Sciences de la Décision, École des HEC, Montréal, QC, CanadaThis paper investigates the two-sided first exit problem for a jump process having jumps with rational Laplace transform. The corresponding boundary value problem is solved to obtain an explicit formula for the first passage functional. Also, we derive the distribution of the first passage time to two-sided barriers and the value at the first passage time.http://dx.doi.org/10.1155/2016/5914657 |
| spellingShingle | Djilali Ait-Aoudia A Note on First Passage Functionals for Lévy Processes with Jumps of Rational Laplace Transforms Abstract and Applied Analysis |
| title | A Note on First Passage Functionals for Lévy Processes with Jumps of Rational Laplace Transforms |
| title_full | A Note on First Passage Functionals for Lévy Processes with Jumps of Rational Laplace Transforms |
| title_fullStr | A Note on First Passage Functionals for Lévy Processes with Jumps of Rational Laplace Transforms |
| title_full_unstemmed | A Note on First Passage Functionals for Lévy Processes with Jumps of Rational Laplace Transforms |
| title_short | A Note on First Passage Functionals for Lévy Processes with Jumps of Rational Laplace Transforms |
| title_sort | note on first passage functionals for levy processes with jumps of rational laplace transforms |
| url | http://dx.doi.org/10.1155/2016/5914657 |
| work_keys_str_mv | AT djilaliaitaoudia anoteonfirstpassagefunctionalsforlevyprocesseswithjumpsofrationallaplacetransforms AT djilaliaitaoudia noteonfirstpassagefunctionalsforlevyprocesseswithjumpsofrationallaplacetransforms |