Two-sided exit problem for a spectrally negative \(\alpha \)-stable Ornstein-Uhlenbeck process and the Wright's generalized hypergeometric functions

DOI10.1214/ECP.v12-1265zbMath1128.60031MaRDI QIDQ2461021

Pierre Patie

Publication date: 19 November 2007

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/128282

zbMATH Keywords

stable Ornstein-Uhlenbeck processtwo-sided exit time

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Stopping times; optimal stopping problems; gambling theory (60G40) Stable stochastic processes (60G52)

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