Exit Times and Poisson Kernels of the Ornstein–Uhlenbeck Diffusion

DOI10.1080/15326340802009337zbMath1148.60058MaRDI QIDQ3514277

Piotr Graczyk, Tomasz Jakubowski

Publication date: 21 July 2008

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340802009337

zbMATH Keywords

Ornstein-Uhlenbeck process; Poisson kernel; exit time

Mathematics Subject Classification ID

60G15: Gaussian processes

60G40: Stopping times; optimal stopping problems; gambling theory

60J45: Probabilistic potential theory

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