Quelques martingales associées à l'intégrale du processus d'ornstein- uhlenbeck. application à l'étude despremiers instants d'atteinte

DOI10.1080/17442509608834078zbMath0866.60069OpenAlexW2076867917MaRDI QIDQ2785315

Aimé Lachal

Publication date: 8 July 1997

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509608834078

zbMATH Keywords

Laplace transformmartingalesfirst hitting timeWeber functionstwo-dimensional process

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Sample path properties (60G17)

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