On the exit from a finite interval for the risk processes with stochastic premiums

• Дата: 2005
• Автори: Gusak, D.V., Karnaukh, E.V.
• Формат: Стаття
• Мова: English
• Опубліковано: Інститут математики НАН України 2005
• Онлайн доступ: http://dspace.nbuv.gov.ua/handle/123456789/4427
• Назва журналу: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Цитувати: 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.

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.