Martingales and First-Passage Times for Ornstein--Uhlenbeck Processes with a Jump Component
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Publication:4830853
DOI10.1137/S0040585X97980403zbMath1056.60039MaRDI QIDQ4830853
Publication date: 16 December 2004
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
maximal inequalitiesstable distributionfirst-passage timesexponential martingaleOrnstein-Uhlenbeck process, Laplace transform, moment Wald's identity
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