摘要：This investigation concerns the hyper-exponential jump-diffusion processes. Following the exposition of the two-sided exit problem by Kyprianou, A. E., and Asmussen, S. and Albrecher, H., this study investigates first passage functionals for these processes.The corresponding boundary value problems are solved to obtain an explicit formula for the first passage functionals.
关键词：Hyper-exponential jump-diffusion process ; two-sided exit problem ; first passage functional;60J75;91G99
