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The ruin problem for a Wiener process with state-dependent jumps Cover

The ruin problem for a Wiener process with state-dependent jumps

Journal of Applied Mathematics, Statistics and Informatics
Volume 16 (2020): Issue 1 (May 2020)
By: M. Lefebvre  
Open Access
|Jul 2020
DOI: https://doi.org/10.2478/jamsi-2020-0002 | Journal eISSN: 1339-0015 | Journal ISSN: 1336-9180
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Language: English
Page range: 13 - 23
Published on: Jul 9, 2020
Published by: University of Ss. Cyril and Methodius in Trnava
In partnership with: Paradigm Publishing Services
Publication frequency: 2 issues per year
Keywords:
First exit time,
Brownian motion,
Poisson process,
jump size,
integro-differential equation
Related subjects:
Computer sciences,
Information technology,
Mathematics,
Logic and set theory,
Probability and statistics,
Applied mathematics

© 2020 M. Lefebvre, published by University of Ss. Cyril and Methodius in Trnava
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

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