The dividend function in the jump-diffusion dual model with barrier dividend strategy

• 作 者: 李波 吴荣
• 机 构: SchoolofMathematicalSciencesandLPMC
• 出 处: 应用数学和力学：英文版
• 发表日期: 2008年9期
• 关键词: 混合物 随机问题 扩散过程 微分 compound Poisson process diffusion process Gerber-Shiu functi
• 基金项目: Project supported by the National Basic Research Program of China （973 Program） （No. 2007CB814905）, the National Natural Science Foundation of China （No. 10571092）, and the Research Fund of the Doctor

A dual model of the perturbed classical compound Poisson risk model is considered under a constant dividend barrier. A new method is used in deriving the boundary condition of the equation for the expectation function by studying the local time of a relat