双边跳扩散过程的首出时和边界分红问题(英文)  

First-exit Time and Barrier Strategy of a Jump Diffusion Process with Two-sided Jumps

作　　者：薛英[1] 张春生[2] 

机构地区：[1]包头师范学院数学科学学院,内蒙古包头014030 [2]南开大学数学科学学院,天津300071

出　　处：《南开大学学报（自然科学版）》2010年第6期56-62,共7页Acta Scientiarum Naturalium Universitatis Nankaiensis

基　　金：Supported by the High School Science Research Project of Inner Mongol(NJZY07119);National Basic Research Program of China(973 Program)(2007CB814905)

摘　　要：利用鞅方法讨论了具有正负跳的扩散过程的首出时问题.当上跳服从Erlang(m)分布下跳服从Er-lang(n)分布时,得到了首出的拉普拉斯变换的精确表达式.最后,应用前面的结论解决双指数跳扩散过程的边界分红问题.The first-exit problem of a jump diffusion process with positive and negative jumps is discussed by the martingale approach.The Laplace transform of the first-exit time is explicitly obtained with the assumption that upward jumps are Erlang（m） distributed and downward ones are Erlang（n） distributed.Finally,by quoting the conclusion obtained as above,expression of the expectation of aggregate dividends until ruin under a barrier strategy is proposed.

关 键 词：首出时 双边跳 鞅 期望折现分红 边界策略 

分 类 号：O211.9[理学—概率论与数理统计] F840[理学—数学]