ORNSTEIN-UHLENBECK

作品数：57被引量：113H指数：6
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相关作者：欧庆铃薛红包立平张立东王永进更多>>
相关机构：南开大学华北电力大学杭州电子科技大学北京师范大学更多>>
相关期刊：《杭州电子科技大学学报（自然科学版）》《激光与光电子学进展》《Frontiers of Mathematics in China》《浙江工业大学学报》更多>>
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Ornstein-Uhlenback type Omega model被引量：1
《Frontiers of Mathematics in China》2016年第3期737-751,共15页Xiulian WANG Wei WANG Chunsheng ZHANG 
Acknowledgements The authors would like to thank the anonymous referees for valuable comments and suggestions to improve the earlier version of this paper. This work was supported by the National Natural Science Foundation of China （Grant Nos. 11401436, 11226204, 11171164, 11271385）, the Doctoral Fund Program of Tianjin Normal University （Grant No. 52XB1204）, and the MOE Youth Project in Humanities and Social Sciences （NO. 14YJCZH048）.
We consider the Omega model with underlying Ornstein-Uhlenbeck type surplus process for an insurance company and obtain some useful results. Explicit expressions for the expected discounted penalty function at bankrup...
关键词：Omega model Ornstein-Uhlenbeck type Omega model probabilityof bankruptcy Gerber-Shiu function at bankruptcy occupation time 
Large and moderate Ornstein-Uhlenbeck deviations in testing process with linear drift
《Frontiers of Mathematics in China》2016年第2期291-307,共17页Hui JIANG 
This paper studies hypothesis testing in the Ornstein-Ulenbeck process with linear drift. With the help of large and moderate deviations for the log-likelihood ratio process, the decision regions and the corresponding...
关键词：Hypothesis testing large deviations log-likelihood ratio process moderate deviations Ornstein-Uhleneck （O-U） process 
Diffusion occupation time before exiting被引量：10
《Frontiers of Mathematics in China》2014年第4期843-861,共19页Yingqiu LI Suxin WANG Xiaowen ZHOU Na ZHU 
Acknowledgements The authors thank the anonymous referees for helpful comments. Yingqiu Li＇s work was supported by the National Natural Science Foundation of China （Grant No. 11171044） und the Natural Science Foundation of Hunan Province （Grant No. llJ32001）; Suxin Wang＇s work was supported by the Natural Sciences and Engineering Research Council of Canada.
Using the approach of D. Landriault et al. and B. Li and X. Zhou, for a one-dimensional time-homogeneous diffusion process X and constants c 〈 a 〈 b 〈 d, we find expressions of double Laplace transforms of the form...
关键词：DIFFUSION exit problem occupation time occupation density localtime Brownian motion with two-valued drift skew Ornstein-Uhlenbeck （OU）process 
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