Two-sided exit problem for a spectrally negative -stable Ornstein-Uhlenbeck process and the Wright's generalized hypergeometric functions.
We first characterize the increasing eigenfunctions associated to the following family of integro-differential operators, for any , >0, ≥0 and a smooth function on , where the coefficients ,≥0 and the measure , which satisfies the integrability condition (1∧ )(d)<+∞, are uniquely determined by the distribution of a spectrally negative, infinitely divisible random variable, with characteristic exponent . is known to...
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