The estimates of the mean first exit time from a ball for the [alpha]-stable Ornstein-Uhlenbeck processes

Tomasz Jakubowski

Stochastic Processes and their Applications, 2007, vol. 117, issue 10, 1540-1560

Abstract: We consider the [alpha]-stable Ornstein-Uhlenbeck process as a solution of the Langevin equation where the Brownian motion is replaced by an isotropic [alpha]-stable process. We give sharp estimates for the expectation of the first exit time from the center of a ball B(x,r) for all and r>0. We compare these results with the case of the Ornstein-Uhlenbeck diffusion process.

Keywords: [alpha]-stable; process; Ornstein-Uhlenbeck; process; Exit; time (search for similar items in EconPapers)
Date: 2007
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