On exit times of Levy-driven Ornstein--Uhlenbeck processes

Details On exit times of Levy-driven Ornstein--Uhlenbeck processes On exit times of Levy-driven Ornstein--Uhlenbeck processes

2007-09-12

arxiv.org/abs/0709.1746v1

Mathematics

Probability

12 pages

Scientific paper

We prove two martingale identities which involve exit times of Levy-driven
Ornstein--Uhlenbeck processes. Using these identities we find an explicit
formula for the Laplace transform of the exit time under the assumption that
positive jumps of the Levy process are exponentially distributed.

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