On exit times of Levy-driven Ornstein-Uhlenbeck processes

Borovkov, K; Novikov, A

On exit times of Levy-driven Ornstein-Uhlenbeck processes

Borovkov, K Novikov, A

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Publication Type:: Journal Article
Citation:: Statistics and Probability Letters, 2008, 78 (12), pp. 1517 - 1525
Issue Date:: 2008-09-01

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Field	Value	Language
dc.contributor.author	Borovkov, K	en_US
dc.contributor.author	Novikov, A https://orcid.org/0000-0001-8529-173X	en_US
dc.date.issued	2008-09-01	en_US
dc.identifier.citation	Statistics and Probability Letters, 2008, 78 (12), pp. 1517 - 1525	en_US
dc.identifier.issn	0167-7152	en_US
dc.identifier.uri	http://hdl.handle.net/10453/8311
dc.description.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. © 2008 Elsevier B.V. All rights reserved.	en_US
dc.relation.ispartof	Statistics and Probability Letters	en_US
dc.relation.isbasedon	10.1016/j.spl.2008.01.017	en_US
dc.subject.classification	Statistics & Probability	en_US
dc.title	On exit times of Levy-driven Ornstein-Uhlenbeck processes	en_US
dc.type	Journal Article
utslib.citation.volume	12	en_US
utslib.citation.volume	78	en_US
utslib.for	010205 Financial Mathematics	en_US
utslib.for	010406 Stochastic Analysis and Modelling	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	0104 Statistics	en_US
utslib.for	1403 Econometrics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	12	en_US
pubs.publication-status	Published	en_US
pubs.volume	78	en_US

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. © 2008 Elsevier B.V. All rights reserved.

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http://hdl.handle.net/10453/8311