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- W2019352205 abstract "We study the distribution of the stochastic integral ∫0t8e−Rt dPt where R is a Brownian motion with positive drift and P is an independent compound Poisson process. We show that in the special case when the jumps of P are exponentially distributed, the integral has the same distribution as that of a gamma variable divided by an independent beta variable." @default.
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- W2019352205 modified "2023-10-16" @default.
- W2019352205 title "On the distribution of a randomly discounted compound Poisson process" @default.
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- W2019352205 doi "https://doi.org/10.1016/0304-4149(95)00076-3" @default.
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