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

DOI10.1016/J.SPL.2008.07.035zbMATH Open1161.60026OpenAlexW2095116003MaRDI QIDQ1003418FDOQ1003418

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

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• The Stationary Distributions of Two Classes of Reflected Ornstein–Uhlenbeck Processes
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• 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

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)

Cites Work

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

Cited In (7)

• On a reflected Ornstein-Uhlenbeck process with an application
• On the first passage times of reflected O-U processes with two-sided barriers
• On the first hitting times to boundary of the reflected O-U process with two-sided barriers
• Properties of the first passage times of the reflected O-U process with a two-sided barrier
• On the probability densities of an Ornstein–Uhlenbeck process with a reflecting boundary
• The explicit expression of non-trivial stationary distribution of SDEs under regime switching
• The Stationary Distributions of Two Classes of Reflected Ornstein–Uhlenbeck Processes

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