Smoothness of Certain Functions in Two Kinds of Risk Models with a Barrier Dividend Strategy  

作　　者：Wei Wang Jing-min He Rong Wu 

机构地区：[1]School of Mathematical Sciences and LPMC,Nankai University,Tianjin 300071,China [2]College of Science,Tianjin University of Technology,Tianjin 300191,China

出　　处：《Acta Mathematicae Applicatae Sinica》2010年第4期661-668,共8页应用数学学报（英文版）

基　　金：Supported by National Basic Research Program of China (973 Program) (Grant No.2007CB814905);the National Natural Science Foundation of China (Grant No.10871102);the the Research Fund for the Doctorial Program of Higher Education

摘　　要：In this paper,we study the smoothness of certain functions in two kinds of risk models with a barrier dividend strategy.Mainly using technique from the piecewise deterministic Markov processes theory,we prove that the function is continuously differentiable in the first risk model.Using the weak infinitesimal generator method of Markov processes,we prove that the function is twice continuously differentiable in the second risk model.Intego-differential equations satisfied by them are derived.

关 键 词：Piecewise deterministic Markov process weak infinitesimal generator barrier strategy 

分 类 号：O211.67[理学—概率论与数理统计] O211.62[理学—数学]