Lan Wu, Xin Zang, Hongxin Zhao, “Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process”, Quantitative Finance, 20, no. 8, 2020, 1285
Clément Foucart, Matija Vidmar, “Continuous-state branching processes with collisions: First passage times and duality”, Stochastic Processes and their Applications, 167, 2024, 104230
Eric C. K. Cheung, “On a class of stochastic models with two-sided jumps”, Queueing Syst, 69, no. 1, 2011, 1
Lijun Bo, “First passage times of reflected Ornstein–Uhlenbeck processes with two-sided jumps”, Queueing Syst, 73, no. 1, 2013, 105
LIJUN BO, GUIJUN REN, YONGJIN WANG, XUEWEI YANG, “FIRST PASSAGE TIMES OF REFLECTED GENERALIZED ORNSTEIN–UHLENBECK PROCESSES”, Stoch. Dyn., 13, no. 01, 2013, 1250014
Florin Avram, Jose-Luis Perez-Garmendia, “A Review of First-Passage Theory for the Segerdahl-Tichy Risk Process and Open Problems”, Risks, 7, no. 4, 2019, 117