Martingales and First-Passage Times for Ornstein--Uhlenbeck Processes with a Jump Component (Q4830853)
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scientific article; zbMATH DE number 2123302
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| English | Martingales and First-Passage Times for Ornstein--Uhlenbeck Processes with a Jump Component |
scientific article; zbMATH DE number 2123302 |
Statements
Martingales and First-Passage Times for Ornstein--Uhlenbeck Processes with a Jump Component (English)
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16 December 2004
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exponential martingale
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first-passage times
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Ornstein-Uhlenbeck process, Laplace transform, moment Wald's identity
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maximal inequalities
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stable distribution
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0.8301510214805603
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0.8300217390060425
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0.8274789452552795
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