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《Journal of Guangxi Normal University(Natural Science Edition)》 2016-01
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Generalized Ornstein-Uhlenbeck Processes Associated with Martingale and Its Application in Finance

HU Hua;School of Mathematics and Computer Science,Ningxia University;  
The two-dimensional joint distribution of the first passage times of spectrally negative generalized Ornstein-Uhlenbeck processes at a constant level and their original stop atthe first passage time,are studied in this paper.Based on some results about Levy and GOU processes,an explicit expression of the Laplace transform of the distribution in terms of new special functions is given by using martingale and Markov chain method.This paper detailedly studies the generalized Ornstein-Uhlenbeck process in the steady state,and provides the Laplasce transformation formula of the European call option price in the generalized Vasicek model,which generalizes the existing results.
【Fund】: 国家自然科学基金资助项目(11361044)
【CateGory Index】: O211.6
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