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https://research.matf.bg.ac.rs/handle/123456789/1902| Title: | The Existence of the Density of the Ruin Time for the Sum of Two Compound Poisson Processes Perturbed by a Diffusion | Authors: | Milošević, Bojana | Affiliations: | Probability and Mathematical Statistics | Issue Date: | 2014 | Rank: | M34 | Publisher: | Niš : Prirodno-matematički fakultet | Related Publication(s): | 13. Serbian Mathematical Congress : Book of abstracts | Conference: | Srpski matematički kongres=Serbian Mathematical Congress(13 ; 2014 ; Vrnjačka Banja) | Abstract: | Let (Xt, t \geq 0) be the sum of a Brownian motion and two independent compound Poisson processes, and let τₓ be the first hitting time of a fixed level x > 0 by this stochastic process. We show the existence of a density with respect to the Lebesgue measure. A link with ruin theory is also presented. |
URI: | https://research.matf.bg.ac.rs/handle/123456789/1902 |
| Appears in Collections: | Research outputs |
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