2008•Statistics & Probability LettersRequires access

On exit times of Levy-driven Ornstein–Uhlenbeck processes

Konstantin Aleksandrovich Borovkov, Alexander A. Novikov

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Key concepts: Ornstein–Uhlenbeck process, Mathematics, Lévy process, Laplace transform, Martingale (probability theory), First-hitting-time model, Stochastic process, Statistical physics

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On exit times of Levy-driven Ornstein–Uhlenbeck processes — Research Paper | ScholarLens