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On exit times of Levy-driven Ornstein-Uhlenbeck processes. (English) Zbl 1159.60019
The authors prove two martingale identities which involve exit times of Lévy-driven Ornstein-Uhlenbeck processes. Using these identities an explicit formula is found for the Laplace transform of the exit time under the assumption that positive jumps of the Lévy process are exponentially distributed.

60G40 Stopping times; optimal stopping problems; gambling theory
60G44 Martingales with continuous parameter
60G51 Processes with independent increments; Lévy processes
60J75 Jump processes (MSC2010)
60E10 Characteristic functions; other transforms
Full Text: DOI
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