On the first passage times of reflected O-U processes with two-sided barriers (Q855182)
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| Language | Label | Description | Also known as |
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| English | On the first passage times of reflected O-U processes with two-sided barriers |
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On the first passage times of reflected O-U processes with two-sided barriers (English)
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4 January 2007
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The Laplace transform of the first passage times of reflected Ornstein-Uhlenbeck processes with two-sided barriers is given. The results are derived by means of solving the related boundary value problem for the differential infinitesimal operator of the strong Markov Ornstein-Uhlenbeck process and by applying the normal-reflection conditions at the reflecting barriers.
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Ornstein-Uhlenbeck process
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two-sided reflected process
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first passage time
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boundary value problem
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normal reflection
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