First passage time density of an Ornstein-Uhlenbeck process with broken drift

DOI10.1080/15326349.2022.2026790MaRDI QIDQ5071667zbMATH OpenOpenAlexFDO

Authors Stefan Ankirchner, Christophette Blanchet-Scalliet, Diana Dorobantu, Laura Gay

Publication date 22 April 2022

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349.2022.2026790

zbMATH Keywords

first passage time densityFokker-Planck equationjoint law of the running supremum and endpointLaplace transformOrnstein-Uhlenbeck processpiecewise-linear drift

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

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• Joint law of an Ornstein-Uhlenbeck process and its supremum
• Mathematical methods for financial markets.
• Maximum likelihood drift estimation for a threshold diffusion
• Optimal Control of the Diffusion Coefficient of a Simple Diffusion Process
• Optimal stopping of oscillating Brownian motion
• Perpetual American options in a diffusion model with piecewise-linear coefficients
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
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Cited in

(10)

• First passage time problem for a drifted Ornstein-Uhlenbeck process
• Multilayer heat equations and their solutions via oscillating integral transforms
• The first passage time density of Ornstein-Uhlenbeck process with continuous and impulsive excitations
• Computing the first passage time density of a time-dependent Ornstein-Uhlenbeck process to a moving boundary
• A lower bound for the first passage time density of the suprathreshold Ornstein-Uhlenbeck process
• Joint law of an Ornstein-Uhlenbeck process and its supremum
• Exponential trends of Ornstein–Uhlenbeck first-passage-time densities
• First-passage-time density and moments of the ornstein-uhlenbeck process
• On transition and first hitting time densities and moments of the Ornstein-Uhlenbeck process
• Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods

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