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Teoriya Veroyatnostei i ee Primeneniya, 2003, Volume 48, Issue 2, Pages 340–358
DOI: https://doi.org/10.4213/tvp288
(Mi tvp288)
 

This article is cited in 35 scientific papers (total in 35 papers)

Martingales and first passage times for Ornstein–Uhlenbeck processes with a jump component

A. A. Novikov

University of Technology, Sydney
References:
Abstract: Using martingale technique, we show that a distribution of the first-passage time over a level for the Ornstein–Uhlenbeck process with jumps is exponentially bounded. In the case of absence of positive jumps, the Laplace transform for this passage time is found. Further, the maximal inequalities are also given when the marginal distribution is stable.
Keywords: exponential martingales, first-passage times, Ornstein–Uhlenbeck process, Laplace transform, moment Wald's identity, maximal inequalities, stable distribution.
Received: 23.01.2003
English version:
Theory of Probability and its Applications, 2004, Volume 48, Issue 2, Pages 288–303
DOI: https://doi.org/10.1137/S0040585X97980403
Bibliographic databases:
Language: Russian
Citation: A. A. Novikov, “Martingales and first passage times for Ornstein–Uhlenbeck processes with a jump component”, Teor. Veroyatnost. i Primenen., 48:2 (2003), 340–358; Theory Probab. Appl., 48:2 (2004), 288–303
Citation in format AMSBIB
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\by A.~A.~Novikov
\paper Martingales and first passage times for Ornstein--Uhlenbeck processes with a jump component
\jour Teor. Veroyatnost. i Primenen.
\yr 2003
\vol 48
\issue 2
\pages 340--358
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\crossref{https://doi.org/10.4213/tvp288}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2015456}
\zmath{https://zbmath.org/?q=an:1056.60039}
\transl
\jour Theory Probab. Appl.
\yr 2004
\vol 48
\issue 2
\pages 288--303
\crossref{https://doi.org/10.1137/S0040585X97980403}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000222357100007}
Linking options:
  • https://www.mathnet.ru/eng/tvp288
  • https://doi.org/10.4213/tvp288
  • https://www.mathnet.ru/eng/tvp/v48/i2/p340
  • This publication is cited in the following 35 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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