On the first passage times of reflected O-U processes with two-sided barriers (Q855182)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On the first passage times of reflected O-U processes with two-sided barriers |
scientific article; zbMATH DE number 5081653
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | On the first passage times of reflected O-U processes with two-sided barriers |
scientific article; zbMATH DE number 5081653 |
Statements
On the first passage times of reflected O-U processes with two-sided barriers (English)
0 references
4 January 2007
0 references
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.
0 references
Ornstein-Uhlenbeck process
0 references
two-sided reflected process
0 references
first passage time
0 references
boundary value problem
0 references
normal reflection
0 references
0.97829366
0 references
0.9527987
0 references
0.92298305
0 references
0.91553247
0 references
0.9153207
0 references
0.8981618
0 references
0.89464706
0 references
0.89374006
0 references
0.88964534
0 references
