a formulation and solution of the multiple disorder problem for a Wiener and a compound Poisson process with exponential … multiple disorder problem for a Wiener and a compound Poisson process with exponen- tial jumps. The method of proof is based on … disorder problem, Wiener process, compound Poisson process, optimal switching, coupled optimal stopping problem, (integro …

We present an explicit solution to the formulated in [17] optimal stopping problem for a geometric compound Poisson … process with exponential jumps. The method of proof is based on reducing the initial problem to an integro-differential free … distribution of jump sizes of the compound Poisson process J. Acknowledgments. The author began to work on optimal stopping …

Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the initial … driven by a Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing … to the problems (2.4) and (5.1) in a jump-diffusion model driven by a Brownian motion and a compound Poisson process with …

determining the best constants in maximal inequalities for a compound Poisson process with linear drift and exponential jumps. … determining the best constants in maximal inequalities for a compound Poisson process with linear drift and exponential jumps. 1 … with the process X that solves the stochastic differential equation (2.1) driven by a compound Poisson process with …

claim amount follows a compound Poisson process. Our goal is to minimize the ruin probability of the company assuming that …

Poisson process. The remaining parameters are ?n-consistent and asymptotically multivariate normal. In particular, these … to be n-consistent, asymptotically independent, and to converge weakly to the smallest minimizer of a two-sided compound …

claim amount follows a compound Poisson process. Our goal is to minimize the ruin probability of the company assuming that …

class. As an example, the set-indexed compound Poisson process is introduced. The set-indexed Lévy process is characterized …