On the exit from a finite interval for the risk processes with stochastic premiums
We consider the almost semicontinuous step-process ξ(t). The conditional characteristic functions of the jumps of ξ(t) have the form E [eiαξk /ξk > 0] = c(c − iα)−1. For such processes, the boundary functionals related to the exit from a finite interval are investigated.
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| Date: | 2005 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Інститут математики НАН України
2005
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| Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/4427 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | On the exit from a finite interval for the risk processes with stochastic premiums / D.V. Gusak, E.V. Karnaukh // Theory of Stochastic Processes. — 2005. — Т. 11 (27), № 3-4. — С. 71–81. — Бібліогр.: 11 назв.— англ. |