scientific article; zbMATH DE number 3896044
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Publication:3675282
zbMATH Open0562.60077MaRDI QIDQ3675282FDOQ3675282
Authors: Dimitar I. Khadzhiev 
Publication date: 1985
Full work available at URL: http://www.numdam.org/item?id=SPS_1985__19__80_0
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Cited In (21)
- Lamperti transformation for continuous-state branching processes with competition and applications
- On exit times of Levy-driven Ornstein-Uhlenbeck processes
- Continuous-state branching processes with competition: duality and reflection at infinity
- Exit times for a class of piecewise exponential Markov processes with two-sided jumps
- Fluctuation theory for level-dependent Lévy risk processes
- Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process
- Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes
- Self-similar processes with independent increments associated with Lévy and Bessel processes.
- Exact solution to a first-passage problem for an Ornstein-Uhlenbeck process with jumps and its integral
- On some functionals of the first passage times in jump models of stochastic volatility
- A recurrence criterion for Markov processes of Ornstein-Uhlenbeck type
- Two-sided exit problem for a spectrally negative \(\alpha \)-stable Ornstein-Uhlenbeck process and the Wright's generalized hypergeometric functions
- First passage times of (reflected) Ornstein-Uhlenbeck processes over random jump boundaries
- On contingent-claim valuation in continuous-time for volatility models of Ornstein-Uhlenbeck type
- First passage times of reflected generalized Ornstein-Uhlenbeck processes
- On Maximal Inequalities for Ornstein--Uhlenbeck Processes with Jumps
- 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
- On the hitting times of continuous-state branching processes with immigration
- Discrete-time approximation of functionals in models of Ornstein-Uhlenbeck type, with applications to finance
- On first passage times of sticky reflecting diffusion processes with double exponential jumps
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