scholarly journals On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance

2014 ◽  
Vol 59 (4) ◽  
pp. 407-440 ◽  
Author(s):  
Mokhtar Hafayed ◽  
Petr Veverka ◽  
Syed Abbas
Keyword(s):  
Stochastic Systems ◽  
Sufficient Conditions ◽  
Necessary And Sufficient Conditions ◽  
Necessary And Sufficient

The extinction time of a general birth and death process with catastrophes

1986 ◽  
Vol 23 (04) ◽  
pp. 851-858 ◽  
Author(s):  
P. J. Brockwell
Keyword(s):  
Laplace Transform ◽  
Size Distribution ◽  
Sufficient Conditions ◽  
Necessary And Sufficient Conditions ◽  
Death Process ◽  
Extinction Time ◽  
Birth And Death Process ◽  
Different Types ◽  
The Laplace Transform ◽  
Necessary And Sufficient

The Laplace transform of the extinction time is determined for a general birth and death process with arbitrary catastrophe rate and catastrophe size distribution. It is assumed only that the birth rates satisfyλ0= 0,λj> 0 for eachj> 0, and. Necessary and sufficient conditions for certain extinction of the population are derived. The results are applied to the linear birth and death process (λj=jλ, µj=jμ) with catastrophes of several different types.

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