most citedAlternative approach to the optimality of the threshold strategy for spectrally negative Levy processes

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q-fin.CP2013

The first passage time problem for mixed-exponential jump processes with applications in insurance and finance

Chuancun Yin, Yuzhen Wen, Zhaojun Zong +1

This paper stidies the first passage times to constant boundaries for mixed-exponential jump diffusion processes. Explicit solutions of the Laplace transforms of the distribution o…