On the distribution of a randomly discounted compound Poisson process

Stochastic Processes and their Applications

Volumn 61, Issue 2, 1996, Pages 305-310

  Nilsen, Trygve ^a   Paulsen, Jostein ^a  

^a UNIVERSITY OF BERGEN   (Norway)

Author keywords

Brownian motion; Compound Poisson process; Hypergeometric differential equation; Laplace transform

Indexed keywords

EID: 0030078157     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4149(95)00076-3     Document Type: Article

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3. I.M. Harrison, Ruin problems with compounding assets, Stochastic Processes Appl. 5 (1977) 67-79.
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5. J. Paulsen, Risk theory in a stochastic economic environment, Stochastic Processes Appl. 46 (1993) 327-361.
6. K. Yosida, Lectures on Differential and Integral Equations (Dover, New York, 1991).