Exit times for a class of piecewise exponential Markov processes with two-sided jumps

Stochastic Processes and their Applications

Volumn 117, Issue 9, 2007, Pages 1330-1356

  Jacobsen, Martin ^a   Jensen, Anders Tolver ^b  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

^b UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Contour integrals; Exit probabilities; Martingales; Ornstein Uhlenbeck process; Partial eigenfunctions; Shot noise process; Undershoot

Indexed keywords

CONTOUR INTEGRALS; EXIT PROBABILITIES; ORNSTEIN-UHLENBECK PROCESS; PARTIAL EIGENFUNCTIONS; SHOT-NOISE PROCESS; UNDERSHOOT;

BROWNIAN MOVEMENT; CONTOUR MEASUREMENT; INTEGRAL EQUATIONS; LAPLACE TRANSFORMS; POISSON EQUATION; PROBABILITY; SHOT NOISE;

MARKOV PROCESSES;

EID: 34447565928     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2007.01.005     Document Type: Article

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