On exit times of Lévy-driven Ornstein-Uhlenbeck processes

Konstantin Borovkov and Alexander Novikov

Statistics & Probability Letters, 2008, vol. 78, issue 12, 1517-1525

Abstract: We prove two martingale identities which involve exit times of Lévy-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 Lévy process are exponentially distributed.

Date: 2008
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