On exit times of Levy-driven Ornstein-Uhlenbeck processes

DOI10.1016/J.SPL.2008.01.017zbMath1159.60019arXiv0709.1746OpenAlexW1979446178MaRDI QIDQ945794

Alexander Novikov, Konstantin A. Borovkov

Publication date: 17 September 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0709.1746

zbMATH Keywords

Laplace transformexit timesLévy-driven Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

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Cites Work

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