The first passage problem for generalized Ornstein-Uhlenbeck processes with non-positive jumps
Séminaire de probabilités de Strasbourg (1985)
- Volume: 19, page 80-90
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topHadjiev, Dimitar I.. "The first passage problem for generalized Ornstein-Uhlenbeck processes with non-positive jumps." Séminaire de probabilités de Strasbourg 19 (1985): 80-90. <http://eudml.org/doc/113539>.
@article{Hadjiev1985,
author = {Hadjiev, Dimitar I.},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {martingale techniques; Laplace transform; first passage time; time-change},
language = {eng},
pages = {80-90},
publisher = {Springer - Lecture Notes in Mathematics},
title = {The first passage problem for generalized Ornstein-Uhlenbeck processes with non-positive jumps},
url = {http://eudml.org/doc/113539},
volume = {19},
year = {1985},
}
TY - JOUR
AU - Hadjiev, Dimitar I.
TI - The first passage problem for generalized Ornstein-Uhlenbeck processes with non-positive jumps
JO - Séminaire de probabilités de Strasbourg
PY - 1985
PB - Springer - Lecture Notes in Mathematics
VL - 19
SP - 80
EP - 90
LA - eng
KW - martingale techniques; Laplace transform; first passage time; time-change
UR - http://eudml.org/doc/113539
ER -
References
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- 6. A.A. Novikov, Martingale approach to the firs passage time problems for nonlinear boundaries, Proc. Steklov Math. Inst.158 (1981), pp.130-152 (in Russian). Zbl0491.60038MR662841
- 7. L.A. Shepp, Explicit solutions to some problems of optimal stopping, Ann. Math. Statist.40 (1969), No.3, pp.993-1010. Zbl0177.22301MR250415
- 8. A.V. Skorokhod, Random processes with independent increments, Nauka, 1964 (in Russian). MR860563
- 9. H.M. Taylor, Optimal stopping in a Markov process, Ann. Math. Statist.39 (1968), pp.1333-1344. Zbl0177.45702MR232444
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