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

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

2009-09-07

arxiv.org/abs/0909.1191v1

Theory of Stochastic Processes, Vol. 11 (27), no. 3-4, 2005, pp.71-81

Mathematics

Probability

11 pages

Scientific paper

In this article the almost semi-continuous step-process $\xi (t)$ is
considered. The conditional characteristic functions of the jumps of $\xi (t)$
have the form $\mathrm{E} [ e^{i\alpha \xi_k}/\xi_k>0 ]=c(c-i\alpha)^{-1}$. For
such processes the boundary functionals connected with the exit from the finite
interval are investigated.

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