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Authors: Siu, Tak Kuen
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/303557
Description: Integration-by-parts formulas for functions of fundamental jump processes relating to a continuous-time, finite-state Markov chain are derived using Bismut's change of measures approach to Malliavin c ... More
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Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/210488
Description: Applying the piecewise derteministic processes theory, the probability generating function of a Cox process, incorporating with shot noise process as the claim intensity, is obtained. We also derive t ... More
Reviewed: Reviewed
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