Exit times for the diffusion risk model with debit interest
Exit times for the diffusion risk model with debit interest
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DOI：
10.1007/s13198-017-0676-7
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发表时间：
2017-10
影响因子：
2
通讯作者：
Yitao Yang;Jingmin He;Zhongqin Gao;B. Wang
中科院分区：
文献类型：
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作者：
Yitao Yang;Jingmin He;Zhongqin Gao;B. Wang
本文研究了具有借方利息的扩散风险模型。得到了风险过程的首次退出时间的Laplace-Stieltjes变换。最后，通过数值算例说明了LST在几种退出时间下的应用。
This paper investigates the diffusion risk model with debit interest. The Laplace–Stieltjes transform (LST) of the first exit times of the risk process is obtained. Finally, numerical examples are given to illustrate the applications of the LST of some exit times.