On exit times of Levy-driven Ornstein-Uhlenbeck processes (Q945794)
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scientific article; zbMATH DE number 5344878
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| English | On exit times of Levy-driven Ornstein-Uhlenbeck processes |
scientific article; zbMATH DE number 5344878 |
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On exit times of Levy-driven Ornstein-Uhlenbeck processes (English)
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17 September 2008
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The authors prove two martingale identities which involve exit times of Lévy-driven Ornstein-Uhlenbeck processes. Using these identities an explicit formula is found for the Laplace transform of the exit time under the assumption that positive jumps of the Lévy process are exponentially distributed.
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Lévy-driven Ornstein-Uhlenbeck processes
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exit times
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Laplace transform
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0.8028830289840698
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0.7794142961502075
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0.7775351405143738
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0.7684378027915955
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0.7650454044342041
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