A clarification note about hitting times densities for Ornstein-Uhlenbeck processes
DOI10.1007/S007800200092zbMATH Open1064.60026OpenAlexW2083953899MaRDI QIDQ1776005FDOQ1776005
Authors: Anja Göing-Jaeschke, Marc Yor
Publication date: 20 May 2005
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800200092
Recommendations
- scientific article; zbMATH DE number 7070796
- On transition and first hitting time densities and moments of the Ornstein-Uhlenbeck process
- Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1
- Cut-off and hitting times of a sample of Ornstein-Uhlenbeck processes and its average
- The probability distributions of the first hitting times of radial Ornstein-Uhlenbeck processes
- Publication:4505980
- scientific article; zbMATH DE number 3988418
- On the probability densities of an Ornstein–Uhlenbeck process with a reflecting boundary
- A note on transition density for the reflected Ornstein-Uhlenbeck process
Characteristic functions; other transforms (60E10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Sample path properties (60G17)
Cited In (19)
- Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1
- Long- and short-time asymptotics of the first-passage time of the Ornstein-Uhlenbeck and other mean-reverting processes
- Mean-field limit of a stochastic particle system smoothly interacting through threshold hitting-times and applications to neural networks with dendritic component
- A note on transition density for the reflected Ornstein-Uhlenbeck process
- Cut-off and hitting times of a sample of Ornstein-Uhlenbeck processes and its average
- On the first hitting time density for a reducible diffusion process
- On the excursion theory for linear diffusions
- Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation
- A comparison of ancestral state reconstruction methods for quantitative characters
- On the first passage time distribution of an Ornstein–Uhlenbeck process
- Explicit asymptotics on first passage times of diffusion processes
- On absolutely continuous compensators and nonlinear filtering equations in default risk models
- On transition and first hitting time densities and moments of the Ornstein-Uhlenbeck process
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
- Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods
- Maximum Likelihood Decoding of Neuronal Inputs from an Interspike Interval Distribution
- Bachelier model with stopping time and its insurance application
- Old problems, classical methods, new solutions
- Skew Ornstein-Uhlenbeck processes and their financial applications
This page was built for publication: A clarification note about hitting times densities for Ornstein-Uhlenbeck processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1776005)