The estimates of the mean first exit time from a ball for the -stable Ornstein-Uhlenbeck processes
In this work the author is concerned with estimates of the expected exit times of the Ornstein-Uhlenbeck process driven by a isotropic \(\alpha\) stable process in \(\mathbb{R}^d\) to leave a ball of radius \(r>0\) starting in its center. He distinguishes small and large \(r\) and as there is an exponential drift towards the origin the cases when it is contained inside or outside the ball. The techniques of proof rely strongly on the scaling properties or the process and on previous results on moment estimates for exit times of an \(\alpha\)-stable process to leave an infinite cone. Finally he compares the results with the O-U diffusion process, which gives some insight in the roles of drift and jumps for the exit time.
- scientific article; zbMATH DE number 2052896
- Mean first exit times of Ornstein–Uhlenbeck processes in high-dimensional spaces
- Mean exit time and escape probability for the Ornstein–Uhlenbeck process
- Exit time of a hyperbolic -stable process from a halfspace or a ball
- scientific article; zbMATH DE number 2096890
- On exit times of Levy-driven Ornstein-Uhlenbeck processes
- Exit Times and Poisson Kernels of the Ornstein–Uhlenbeck Diffusion
- A result on the first-passage time of an Ornstein-Uhlenbeck process
- First exit times of SDEs driven by stable Lévy processes
- On the Density of the First Exit Time of a Stable Process Across a Nonlinear Boundary
- A survey and some generalizations of Bessel processes
- Can one see \(\alpha\)-stable variables and processes?
- Conditional transformation of drift formula and potential theory for \(\Delta +b(\cdot)\cdot \nabla\)
- Evaluation of the first-passage time probability to a square root boundary for the Wiener process
- Exit Times and Poisson Kernels of the Ornstein–Uhlenbeck Diffusion
- First exit times of SDEs driven by stable Lévy processes
- First Passage Times for Symmetric Stable Processes in Space
- First-passage-time density and moments of the ornstein-uhlenbeck process
- Harnack inequality for stable processes on d-sets
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- Martingales and First-Passage Times for Ornstein--Uhlenbeck Processes with a Jump Component
- On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance
- Ornstein-Uhlenbeck-Cauchy process.
- Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1
- Some mean first-passage time approximations for the Ornstein-Uhlenbeck process
- Stable processes have thorns
- Symmetric stable processes in cones
- Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Lévy motions.
- Symmetric stable processes stay in thick sets.
- Green function for gradient perturbation of unimodal Lévy processes in the real line
- Estimates of heat kernel of fractional Laplacian perturbed by gradient operators
- Two-sided exit problem for a spectrally negative -stable Ornstein-Uhlenbeck process and the Wright's generalized hypergeometric functions
- On Harnack inequality for \(\alpha\)-stable Ornstein-Uhlenbeck processes
- On the windings of complex-valued Ornstein-Uhlenbeck processes driven by a Brownian motion and by a stable process
- Exit time of a hyperbolic -stable process from a halfspace or a ball
- Exit Times and Poisson Kernels of the Ornstein–Uhlenbeck Diffusion
- Stable semigroups on homogeneous trees and hyperbolic spaces
- Martin representation and relative Fatou theorem for fractional Laplacian with a gradient perturbation
- Estimates of the Green function for the fractional Laplacian perturbed by gradient
- Time-dependent gradient perturbations of fractional Laplacian
- scientific article; zbMATH DE number 1740403 (Why is no real title available?)
- First passage times of reflected generalized Ornstein-Uhlenbeck processes
- Mean exit time and escape probability for the Ornstein–Uhlenbeck process
- Mean first exit times of Ornstein–Uhlenbeck processes in high-dimensional spaces
- Estimates of gradient perturbation series
This page was built for publication: The estimates of the mean first exit time from a ball for the \(\alpha \)-stable Ornstein-Uhlenbeck processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2381973)
