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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
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
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
Linking options:
https://www.mathnet.ru/eng/tvp288https://doi.org/10.4213/tvp288 https://www.mathnet.ru/eng/tvp/v48/i2/p340
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