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20052022
most citedSome remarks on first passage of Levy processes, the American put and pasting principles

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math.PR2022

Boundary crossing problems and functional transformations for Ornstein-Uhlenbeck processes

Aria Ahari, Larbi Alili, Massimiliano Tamborrino

We are interested in the law of the first passage time of an Ornstein-Uhlenbeck process to time-varying thresholds. We show that this problem is connected to the laws of the first…