Exact solution to a first-passage problem for an Ornstein-Uhlenbeck process with jumps and its integral (Q6192371)
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scientific article; zbMATH DE number 7803476
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exact solution to a first-passage problem for an Ornstein-Uhlenbeck process with jumps and its integral |
scientific article; zbMATH DE number 7803476 |
Statements
Exact solution to a first-passage problem for an Ornstein-Uhlenbeck process with jumps and its integral (English)
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12 February 2024
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Kolmogorov backward equation
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Brownian motion
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Vasicek model
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similarity variable
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