Article ID Journal Published Year Pages File Type
1155199 Statistics & Probability Letters 2008 9 Pages PDF
Abstract
We 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.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
On exit times of Levy-driven Ornstein-Uhlenbeck processes
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