Authors: Jingmin He; Yitao Yang
Addresses: School of Science, Tianjin University of Technology, Tianjin 300384, P.R. China ' School of Science, Tianjin University of Technology, Tianjin 300384, P.R. China
Abstract: This paper investigates the diffusion risk model with drift coefficient. The Laplace-Stieltjes transforms (LST) of some exit times of the risk process are obtained.
Keywords: basic solutions of the differential equation; Dynkin's formula; second-order differential equation with constant coefficients; strong Markov property.
International Journal of Dynamical Systems and Differential Equations, 2017 Vol.7 No.2, pp.136 - 141
Available online: 01 Aug 2017 *Full-text access for editors Access for subscribers Purchase this article Comment on this article