First Passage times of (reflected) Ornstein–uhlenbeck Processes over Random Jump Boundaries
نویسنده
چکیده
In this paper we study first passage times of (reflected) Ornstein–Uhlenbeck processes over compound Poisson-type boundaries. In fact, we extend the results of first rendezvous times of (reflected) Brownian motion and compound Poisson-type processes in Perry, Stadje and Zacks (2004) to the (reflected) Ornstein–Uhlenbeck case.
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