Exact solution to a first-passage problem for an Ornstein–Uhlenbeck process with jumps and its integral
Author:
Funder
Natural Sciences and Engineering Research Council of Canada
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference15 articles.
1. Integrated stationary Ornstein–Uhlenbeck process, and double integral processes;Abundo;Physica A,2018
2. On moments of the integrated exponential Brownian motion;Caravelli;Eur. Phys. J. Plus,2016
3. On the first passage of the integrated Wiener process;Goldman;Ann. Math. Stat.,1971
4. The one-sided barrier problem for an integrated Ornstein–Uhlenbeck process;Hesse;Commun. Stat. Stoch. Model.,1991
5. First passage times of a jump diffusion process;Kou;Adv. Appl. Probab.,2003
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