On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance

DOI10.1016/j.spa.2004.11.003zbMath1075.60040OpenAlexW2149867573MaRDI QIDQ2485843

Pierre Patie

Publication date: 5 August 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2004.11.003

zbMATH Keywords

Term structureSpecial functionsFirst passage timeStable processPath dependent options

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Related Items

Continuous-state branching processes with competition: duality and reflection at infinity, The estimates of the mean first exit time from a ball for the \(\alpha \)-stable Ornstein-Uhlenbeck processes, The Stationary Distributions of Two Classes of Reflected Ornstein–Uhlenbeck Processes, Exit times for a class of piecewise exponential Markov processes with two-sided jumps, On first passage times of sticky reflecting diffusion processes with double exponential jumps, Lamperti transformation for continuous-state branching processes with competition and applications, Continuous-state branching processes with collisions: first passage times and duality, Vasicek model with mixed-exponential jumps and its applications in finance and insurance, Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process, FIRST PASSAGE TIMES OF REFLECTED GENERALIZED ORNSTEIN–UHLENBECK PROCESSES, Exact conditions for no ruin for the generalised Ornstein-Uhlenbeck process, Fluctuation theory for level-dependent Lévy risk processes, On the windings of complex-valued Ornstein–Uhlenbeck processes driven by a Brownian motion and by a stable process, On the hitting times of continuous-state branching processes with immigration, First Passage Times of (Reflected) Ornstein-Uhlenbeck Processes Over Random Jump Boundaries, On the asymptotic behavior of the parameter estimators for some diffusion processes: application to neuronal models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A martingale approach in problems on first crossing time of nonlinear boundaries
• On the distribution of the Hilbert transform of the local time of a symmetric Lévy process
• Path dependent options on yields in the affine term structure model
• Affine processes and applications in finance
• On the Hilbert transform of the local times of a Lévy process
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Quelques martingales associées à l'intégrale du processus d'ornstein- uhlenbeck. application à l'étude despremiers instants d'atteinte
• Martingales and First-Passage Times for Ornstein--Uhlenbeck Processes with a Jump Component
• Semi-stable Markov processes. I
• A First Passage Problem for the Wiener Process