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Two-sided exit problem for a Spectrally Negative $\alpha$-Stable Ornstein-Uhlenbeck Process and the Wright's generalized hypergeometric functions

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1.	Title	Title of document	Two-sided exit problem for a Spectrally Negative $\alpha$-Stable Ornstein-Uhlenbeck Process and the Wright's generalized hypergeometric functions
2.	Creator	Author's name, affiliation, country	Pierre Patie; IMSV - University of Bern
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	Two-sided exit time; stable Ornstein-Uhlenbeck process; Wright's generalized hypergeometric functions
3.	Subject	Subject classification	60J35; 60G40; 60E07
4.	Description	Abstract	The Laplace transform of the first exit time from a finite interval by a regular spectrally negative $\alpha$-stable Ornstein-Uhlenbeck process is provided in terms of the Wright's generalized hypergeometric function. The Laplace transform of first passage times is also derived for some related processes such as the process killed when it enters the negative half line and the process conditioned to stay positive. The law of the maximum of the associated bridges is computed in terms of the $q$-resolvent density. As a byproduct, we deduce some interesting analytical properties for some Wright's generalized hypergeometric functions.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2007-05-08
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ecp.ejpecp.org/article/view/1265
10.	Identifier	Digital Object Identifier	10.1214/ECP.v12-1265
11.	Source	Journal/conference title; vol., no. (year)	Electronic Communications in Probability; Vol 12
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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