On exit times of Levy-driven Ornstein--Uhlenbeck processes

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dc.creatorBorovkov, K.
dc.creatorNovikov, A.
dc.date2007-09-12
dc.date.accessioned2026-07-07T08:29:01Z
dc.date.available2026-07-07T08:29:01Z
dc.descriptionWe prove two martingale identities which involve exit times of Levy-driven Ornstein--Uhlenbeck processes. Using these identities we find an explicit formula for the Laplace transform of the exit time under the assumption that positive jumps of the Levy process are exponentially distributed.
dc.description12 pages
dc.identifierhttps://arxiv.org/abs/0709.1746
dc.identifierhttp://arxiv.org/abs/0709.1746
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/137821
dc.subjectProbability
dc.subject60G44; 60F05
dc.titleOn exit times of Levy-driven Ornstein--Uhlenbeck processes
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