On a reflected Ornstein-Uhlenbeck process with an application

DOI10.1017/S0004972700029373MaRDI QIDQ5751708zbMATH OpenFDO

Authors F. A. Attia

Publication date 1991

Published in Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0004972700029373

zbMATH Keywords

finite storage systemmoment generating functionresolvent operator

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Optimal stochastic control (93E20)

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Cites work

• A note on the expected discounted cost of operating a finite dam
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• On some diffusion approximations to queueing systems
• The control of a finite dam
• The control of a finite dam with penalty cost function: Wiener process input
• Two-stage output procedure of a finite dam

Cited in

(9)

• Cramér's estimate for the reflected process revisited
• On the rate of convergence to equilibrium for two-sided reflected Brownian motion and for the Ornstein-Uhlenbeck process
• scientific article; zbMATH DE number 3988418 (Why is no real title available?)
• On the reflected Ornstein-Uhlenbeck process with catastrophes
• Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
• Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations
• Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes
• Maximum likelihood estimation for nonlinear reflected stochastic differential equations
• Stationary solutions of retarded Ornstein-Uhlenbeck processes in Hilbert spaces

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