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The first passage problem for generalized Ornstein-Uhlenbeck processes with non-positive jumps

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References

1979Calcul Stochastique et Problèmes de Martingales1,161 cited
1983Calcul des variations stochastique et processus de sauts138 cited
1968Optimal Stopping in a Markov Process74 cited

Cited by

2007Exit times for a class of piecewise exponential Markov processes with two-sided jumps42 cited
2004On a martingale associated to generalized Ornstein–Uhlenbeck processes and an application to finance24 cited
2004On some first passage time problems motivated by financial applications22 cited

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