Quelques martingales associées à l'intégrale du processus d'ornstein- uhlenbeck. application à l'étude despremiers instants d'atteinte

Let be the Ornstein-Uhlenbeck process with parameter β starting at y and In this paper, several martingales are built, related to the two-dimensional process ; then, we give explicitly the Laplace transforms of the random vectors and where and Next these results are extended to the case of an Ornslein-Uhlenbeck process driven by the “hyperbolic” drift