First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps (Q1934375)
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scientific article; zbMATH DE number 6131914
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| English | First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps |
scientific article; zbMATH DE number 6131914 |
Statements
First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps (English)
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28 January 2013
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first passage problem
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reflected Ornstein-Uhlenbeck processes
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two-sided mixed exponential law
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smooth-pasting condition
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0.9171696901321412
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0.9018486738204956
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0.8764722943305969
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0.8678780198097229
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0.8584078550338745
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