Stochastic processes such as diffusion can be analyzed by means of a partial differential equation of the Fokker-Planck type (FPE), which yields a transition probability density, or by a stochastic differential equati...Stochastic processes such as diffusion can be analyzed by means of a partial differential equation of the Fokker-Planck type (FPE), which yields a transition probability density, or by a stochastic differential equation of the Langevin type (LE), which yields the time evolution of a statistical process variable. Provided the stochastic process is continuous and certain boundary conditions are met, the two approaches yield equivalent information. However, Brownian motion of radioactively decaying particles is not a continuous process because the Brownian trajectories abruptly terminate when the particle decays. Recent analysis of the Brownian motion of decaying particles by both approaches has led to different mean-square displacements. In this paper, we demonstrate the complete equivalence of the two approaches by 1) showing quantitatively and operationally how the probability densities and statistical moments predicted by the FPE and LE relate to one another, 2) verifying that both approaches lead to identical statistical moments at all orders, and 3) confirming that the analytical solution to the FPE accurately describes the Brownian trajectories obtained by Monte Carlo simulations based on the LE. The analysis in this paper addresses both the spatial distribution of the particles (i.e. the question of displacement as a function of diffusion time) and the temporal distribution (i.e. the question of first-passage time to fixed absorbing boundaries).展开更多
In this paper, a hybrid dividend strategy in the compound Poisson risk model is considered. In the absence of dividends, the surplus of an insurance company is modelled by a compound Poisson process. Dividends are pai...In this paper, a hybrid dividend strategy in the compound Poisson risk model is considered. In the absence of dividends, the surplus of an insurance company is modelled by a compound Poisson process. Dividends are paid at a constant rate whenever the modified surplus is in a interval;the premium income no longer goes into the surplus but is paid out as dividends whenever the modified surplus exceeds the upper bound of the interval, otherwise no dividends are paid. Integro-differential equations with boundary conditions satisfied by the expected total discounted dividends until ruin are derived;for example, closed-form solutions are given when claims are exponentially distributed. Accordingly, the moments and moment-generating functions of total discounted dividends until ruin are considered. Finally, the Gerber-Shiu function and Laplace transform of the ruin time are discussed.展开更多
文摘Stochastic processes such as diffusion can be analyzed by means of a partial differential equation of the Fokker-Planck type (FPE), which yields a transition probability density, or by a stochastic differential equation of the Langevin type (LE), which yields the time evolution of a statistical process variable. Provided the stochastic process is continuous and certain boundary conditions are met, the two approaches yield equivalent information. However, Brownian motion of radioactively decaying particles is not a continuous process because the Brownian trajectories abruptly terminate when the particle decays. Recent analysis of the Brownian motion of decaying particles by both approaches has led to different mean-square displacements. In this paper, we demonstrate the complete equivalence of the two approaches by 1) showing quantitatively and operationally how the probability densities and statistical moments predicted by the FPE and LE relate to one another, 2) verifying that both approaches lead to identical statistical moments at all orders, and 3) confirming that the analytical solution to the FPE accurately describes the Brownian trajectories obtained by Monte Carlo simulations based on the LE. The analysis in this paper addresses both the spatial distribution of the particles (i.e. the question of displacement as a function of diffusion time) and the temporal distribution (i.e. the question of first-passage time to fixed absorbing boundaries).
文摘In this paper, a hybrid dividend strategy in the compound Poisson risk model is considered. In the absence of dividends, the surplus of an insurance company is modelled by a compound Poisson process. Dividends are paid at a constant rate whenever the modified surplus is in a interval;the premium income no longer goes into the surplus but is paid out as dividends whenever the modified surplus exceeds the upper bound of the interval, otherwise no dividends are paid. Integro-differential equations with boundary conditions satisfied by the expected total discounted dividends until ruin are derived;for example, closed-form solutions are given when claims are exponentially distributed. Accordingly, the moments and moment-generating functions of total discounted dividends until ruin are considered. Finally, the Gerber-Shiu function and Laplace transform of the ruin time are discussed.
