DC Field
Value
Language
dc.contributor.author
Eisenberg, Julia
-
dc.contributor.author
Krühner, Paul
-
dc.date.accessioned
2024-07-08T13:46:38Z
-
dc.date.available
2024-07-08T13:46:38Z
-
dc.date.issued
2022-05
-
dc.identifier.citation
<div class="csl-bib-body"> <div class="csl-entry">Eisenberg, J., &#38; Krühner, P. (2022). On Itô’s formula for semimartingales with jumps and non-C<sup>2</sup> functions. <i>STATISTICS &#38; PROBABILITY LETTERS</i>, <i>184</i>, Article 109369. https://doi.org/10.1016/j.spl.2022.109369</div> </div>
-
dc.identifier.issn
0167-7152
-
dc.identifier.uri
http://hdl.handle.net/20.500.12708/198772
-
dc.description.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.
en
dc.description.sponsorship
FWF - Österr. Wissenschaftsfonds
-
dc.language.iso
en
-
dc.publisher
ELSEVIER
-
dc.relation.ispartof
STATISTICS & PROBABILITY LETTERS
-
dc.rights.uri
http://creativecommons.org/licenses/by/4.0/
-
dc.subject
Itô’s formula
en
dc.subject
Jump semimartingales
en
dc.subject
Non-C² functions
en
dc.title
On Itô’s formula for semimartingales with jumps and non-C² functions
en
dc.type
Article
en
dc.type
Artikel
de
dc.rights.license
Creative Commons Namensnennung 4.0 International
de
dc.rights.license
Creative Commons Attribution 4.0 International
en
dc.identifier.scopus
2-s2.0-85124297796
-
dc.identifier.url
https://api.elsevier.com/content/abstract/scopus_id/85124297796
-
dc.contributor.affiliation
Vienna University of Economics and Business, Austria
-
dc.relation.grantno
V603-N35
-
dc.rights.holder
© 2022 The Author(s)
-
dc.type.category
Original Research Article
-
tuw.container.volume
184
-
tuw.journal.peerreviewed
true
-
tuw.peerreviewed
true
-
tuw.project.title
Aktuarielle Kontrollprobleme unter Stochastischer Verzinsung
-
tuw.researchTopic.id
A4
-
tuw.researchTopic.id
A3
-
tuw.researchTopic.name
Mathematical Methods in Economics
-
tuw.researchTopic.name
Fundamental Mathematics Research
-
tuw.researchTopic.value
50
-
tuw.researchTopic.value
50
-
dcterms.isPartOf.title
STATISTICS & PROBABILITY LETTERS
-
tuw.publication.orgunit
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik
-
tuw.publisher.doi
10.1016/j.spl.2022.109369
-
dc.date.onlinefirst
2022-02-02
-
dc.identifier.articleid
109369
-
dc.identifier.eissn
1879-2103
-
dc.identifier.libraryid
AC17227121
-
dc.description.numberOfPages
6
-
dc.rights.identifier
CC BY 4.0
de
dc.rights.identifier
CC BY 4.0
en
wb.sci
true
-
wb.sciencebranch
Informatik
-
wb.sciencebranch
Wirtschaftswissenschaften
-
wb.sciencebranch
Mathematik
-
wb.sciencebranch.oefos
1020
-
wb.sciencebranch.oefos
5020
-
wb.sciencebranch.oefos
1010
-
wb.sciencebranch.value
10
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wb.sciencebranch.value
20
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wb.sciencebranch.value
70
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item.languageiso639-1
en
-
item.openairetype
research article
-
item.openairecristype
http://purl.org/coar/resource_type/c_2df8fbb1
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item.grantfulltext
open
-
item.cerifentitytype
Publications
-
item.fulltext
with Fulltext
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item.mimetype
application/pdf
-
item.openaccessfulltext
Open Access
-
crisitem.author.dept
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik
-
crisitem.author.dept
Vienna University of Economics and Business
-
crisitem.author.parentorg
E105 - Institut für Stochastik und Wirtschaftsmathematik
-
crisitem.project.funder
FWF - Österr. Wissenschaftsfonds
-
crisitem.project.grantno
V603-N35
-
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