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Exit problems for the difference of a compound Poisson process and a compound renewal process

โœ Scribed by Victor Kadankov; Tetyana Kadankova


Publisher
Springer US
Year
2008
Tongue
English
Weight
552 KB
Volume
59
Category
Article
ISSN
0257-0130

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๐Ÿ“œ SIMILAR VOLUMES


The compound Poisson process perturbed b
โœ Kam C. Yuen; Yuhua Lu; Rong Wu ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 160 KB

## Abstract In this paper, we consider the compound Poisson process perturbed by a diffusion in the presence of the soโ€called threshold dividend strategy. Within this framework, we prove the twice continuous differentiability of the expected discounted value of all dividends until ruin. We also der