کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
6417394 1339290 2016 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Stochastic areas of diffusions and applications
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز ریاضی
پیش نمایش صفحه اول مقاله
Stochastic areas of diffusions and applications
چکیده انگلیسی

In this paper we study the stochastic area swept by a regular time-homogeneous diffusion till a stopping time. This unifies some recent literature in this area. Through stochastic time-change we establish a link between the stochastic area and the stopping time of another associated time-homogeneous diffusion. Then we characterize the Laplace transform and integer moments of the stochastic area in terms of the eigenfunctions of the associated diffusion. We show applications of the results to a new structural model of default (Yildirim [28]) and the Omega risk model of bankruptcy in risk analysis (Gerber, Shiu and Yang [11]).

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Analysis and Applications - Volume 436, Issue 1, 1 April 2016, Pages 79-93
نویسندگان
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