The estimates of the mean first exit time from a ball for the -stable Ornstein-Uhlenbeck processes

DOI10.1016/J.SPA.2007.02.007zbMATH Open1132.60044OpenAlexW2008450553MaRDI QIDQ2381973FDOQ2381973

Tomasz Jakubowski

Publication date: 26 September 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2007.02.007

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zbMATH Keywords

Ornstein-Uhlenbeck processexit time\(\alpha\)-stable process

Mathematics Subject Classification ID

Stable stochastic processes (60G52)

Cites Work

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• Can one see \(\alpha\)-stable variables and processes?
• Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Lévy motions.
• Evaluation of the first-passage time probability to a square root boundary for the Wiener process
• On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance
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Cited In (16)

• Martin representation and relative Fatou theorem for fractional Laplacian with a gradient perturbation
• Symmetric stable processes stay in thick sets.
• Estimates of the Green function for the fractional Laplacian perturbed by gradient
• Time-dependent gradient perturbations of fractional Laplacian
• FIRST PASSAGE TIMES OF REFLECTED GENERALIZED ORNSTEIN–UHLENBECK PROCESSES
• Exit time of a hyperbolic \(\alpha\)-stable process from a halfspace or a ball
• Stable semigroups on homogeneous trees and hyperbolic spaces
• Exit Times and Poisson Kernels of the Ornstein–Uhlenbeck Diffusion
• 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
• Estimates of heat kernel of fractional Laplacian perturbed by gradient operators
• On Harnack inequality for \(\alpha\)-stable Ornstein-Uhlenbeck processes
• Two-sided exit problem for a spectrally negative \(\alpha \)-stable Ornstein-Uhlenbeck process and the Wright's generalized hypergeometric functions
• Title not available (Why is that?)
• Green function for gradient perturbation of unimodal Lévy processes in the real line

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