Exit times for a class of piecewise exponential Markov processes with two-sided jumps

DOI10.1016/j.spa.2007.01.005zbMath1125.60080OpenAlexW2028982803MaRDI QIDQ2642039

Martin Jacobsen, Anders Tolver Jensen

Publication date: 20 August 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.2007.01.005

zbMATH Keywords

martingalesOrnstein-Uhlenbeck processcontour integralsshot-noise processexit probabilitiespartial eigenfunction

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44)

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