Eisenberg, Julia and Kruehner, Paul
(2022)
On Ito's formula for semimartingales with jumps and non-<i>C</i><SUP>2</SUP> functions.
STATISTICS & PROBABILITY LETTERS, 184.
p. 109369.
Official URL: http://dx.doi.org/10.1016/j.spl.2022.109369
Abstract
This paper considers a variant of Itô’s formula for discontinuous semimartingales and non-C2 functions. This result is particularly helpful for insurance control problems with Markov-modulated components. An example of a dividend barrier strategy for a Brownian risk model with Markov-switching illustrates the result.
Item Type: | Article |
---|---|
Uncontrolled Keywords: | Jump semimartingales, Itos formula, Non-C-2 functions |
Divisions: | Faculty of Science and Engineering > School of Physical Sciences |
Depositing User: | Symplectic Admin |
Date Deposited: | 12 May 2022 14:22 |
Last Modified: | 19 Oct 2023 09:33 |
DOI: | 10.1016/j.spl.2022.109369 |
Open Access URL: | https://www.sciencedirect.com/science/article/pii/... |
Related URLs: | |
URI: | https://livrepository.liverpool.ac.uk/id/eprint/3154672 |
Dimensions
Altmetric
Share
CORE (COnnecting REpositories)