First Exit-Time Analysis for an Approximate Barndorff-Nielsen and Shephard Model with Stationary Self-Decomposable Variance Process

Authors

Shantanu Awasthi, North Dakota State University, Fargo, North Dakota 58108-6050, USAFollow
Indranil SenGupta, North Dakota State University, Fargo, North Dakota 58108-6050, USAFollow

Recommended Citation

Awasthi, Shantanu and SenGupta, Indranil (2021) "First Exit-Time Analysis for an Approximate Barndorff-Nielsen and Shephard Model with Stationary Self-Decomposable Variance Process," Journal of Stochastic Analysis: Vol. 2: No. 1, Article 5.
DOI: 10.31390/josa.2.1.05
Available at: https://repository.lsu.edu/josa/vol2/iss1/5

DOI

10.31390/josa.2.1.05