In this paper, we study the excursion time of a Brownian motion with drift outside a corridor by using a four states semi-Markov model. In mathematical finance, these results have an important application in the valuation of double barrier Parisian options. In this paper, we obtain an explicit...

In this paper, we apply a single barrier strategy to optimise dividend payments in the situation where there is a time lag d0 between decision and implementation. Using a classical surplus process with exponentially distributed jumps, we obtain the optimal barrier b* which maximises the expected...

In this paper, we apply the single barrier strategy to optimize the dividend payment in the situation where there is a time lag d 0 between decision and implementation. Using a Brownian motion with drift as the surplus process, we obtain the optimal barrier b* which maximises the expected...

In this paper, we extend the concept of ruin in risk theory to the Parisian type of ruin. For this to occur, the surplus process must fall below zero and stay negative for a continuous time interval of specified length. Working with a classical surplus process with exponential jump size, we...

In this paper, we extend the concept of ruin in risk theory to the Parisian type of ruin. For this to occur, the surplus process must fall below zero and stay negative for a continuous time interval of specified length. We obtain the probability of ruin in the infinite horizon for the case when...

In this paper, we study the excursion time of a Brownian motion with drift inside a corridor by using a four states semi-Markov model. In mathematical finance these results have an important application in the valuation of options whose prices depend on the time their underlying assets prices...