On the first passage time distribution of an Ornstein–Uhlenbeck process

DOI10.1080/14697680903373684zbMath1221.60114OpenAlexW2069176303MaRDI QIDQ2994837

Chuang Yi

Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903373684

zbMATH Keywords

Ornstein-Uhlenbeck processfirst passage timereflection principleprobability of defaultFortet's lemma

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Credit risk (91G40)

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Cites Work

• Valuation of default-sensitive claims under imperfect information
• Path dependent options on yields in the affine term structure model
• A clarification note about hitting times densities for Ornstein-Uhlenbeck processes
• A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
• Cut-off and hitting times of a sample of Ornstein-Uhlenbeck processes and its average
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹