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

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dc.contributor.author Borovkov, K
dc.contributor.author Novikov, A
dc.date.accessioned 2010-05-28T09:42:24Z
dc.date.issued 2007-09-12
dc.identifier.citation 2007
dc.identifier.other C1 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.
dc.title On exit times of Levy-driven Ornstein--Uhlenbeck processes
dc.type Journal Article
dc.journal.number 12 en_US
dc.publocation The Netherlands en_US
dc.identifier.startpage 1517 en_US
dc.identifier.endpage 1525 en_US
dc.cauo.name SCI.Mathematical Sciences en_US
dc.conference Verified OK en_US
dc.for 010205 Financial Mathematics
dc.for 010406 Stochastic Analysis and Modelling
dc.personcode 991062
dc.percentage 50 en_US
dc.classification.name Stochastic Analysis and Modelling en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords math.PR
dc.description.keywords math.PR
dc.description.keywords math.PR
dc.description.keywords 60G44; 60F05
dc.description.keywords 60G44; 60F05
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Science
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.copyright.date 2015-04-15 12:17:09.805752+10
pubs.consider-herdc true
pubs.consider-herdc true
utslib.collection.history School of Mathematical Sciences (ID: 340)
utslib.collection.history Closed (ID: 3)


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