Stationary distribution of reflected O-U process with two-sided barriers

DOI10.1016/J.SPL.2008.07.035MaRDI QIDQ1003418zbMATHOpenAlexFDO

Authors Chunmei Jiang, Lidong Zhang

Publication date 4 March 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2008.07.035

zbMATH Keywords

infinitesimal generatorstationary distributionreflected Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transition functions, generators and resolvents (60J35)

Recommendations

• The Stationary Distributions of Two Classes of Reflected Ornstein–Uhlenbeck Processes
• scientific article; zbMATH DE number 3988418
• On the first passage times of reflected O-U processes with two-sided barriers
• Some limiting results of reflected Ornstein-Uhlenbeck processes with two-sided barriers
• On the first hitting times to boundary of the reflected O-U process with two-sided barriers

Cites work

• A diffusion approximation for a Markovian queue with reneging
• A multi-dimensional martingale for Markov additive processes and its applications
• Drift rate control of a Brownian processing system
• On the first passage times of reflected O-U processes with two-sided barriers
• Properties of the reflected Ornstein-Uhlenbeck process

Cited in

(10)

• The explicit expression of non-trivial stationary distribution of SDEs under regime switching
• A note on the central limit theorem for the idleness process in a one‐sided reflected Ornstein–Uhlenbeck model
• On the probability densities of an Ornstein–Uhlenbeck process with a reflecting boundary
• Properties of the first passage times of the reflected O-U process with a two-sided barrier
• The Stationary Distributions of Two Classes of Reflected Ornstein–Uhlenbeck Processes
• On the reflected Ornstein-Uhlenbeck process with catastrophes
• On a reflected Ornstein-Uhlenbeck process with an application
• On the first hitting times to boundary of the reflected O-U process with two-sided barriers
• On the first passage times of reflected O-U processes with two-sided barriers
• Properties of the Cox-Ingersoll-Ross interest rate processes with two-sided reflections

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