INTEGRATION BY PARTS FOR 2-PARAMETER SINGLE JUMP PROCESS

被引：0

作者：

TSOI, AH ^{[1
]}

机构：

[1] HONG KONG UNIV SCI & TECHNOL,DEPT MATH,CLEAR WATER BAY,HONG KONG

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 1994年 / 12卷 / 04期

关键词：

D O I：

10.1080/07362999408809367

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We consider a process with a single jump at a random two parameter 'time' (T1, T2). We consider the case when (T1, T2) follows an exponential distribution. By employing a time change technique we derive an integration by parts formula for the process.

引用

页码：499 / 504

页数：6

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