First hitting times for doubly skewed Ornstein-Uhlenbeck processes

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A probabilistic representation for the solution of a problem of mathematical physics
Brownian motions on a half line
Comparison of sequence accelerators for the Gaver method of numerical Laplace transform inversion
Diffusion models for population dynamics incorporating individual behavior at boundaries: Applications to refuge design
Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process
First passage time of skew Brownian motion
First-passage problems for asymmetric diffusions and skew-diffusion processes
Occupation and local times for skew Brownian motion with applications to dispersion across an interface
On skew Brownian motion
On the constructions of the skew Brownian motion
Random perturbations of Hamiltonian systems
SELF EXCITING THRESHOLD INTEREST RATES MODELS
Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps
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Cited in

(9)

On first hitting times for skew CIR processes
Some properties of doubly skewed CIR processes
Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
Exact solutions of the two-side exit time problems for the Vasicek model
Cut-off and hitting times of a sample of Ornstein-Uhlenbeck processes and its average
Parameter estimation for the skew Ornstein-Uhlenbeck processes based on discrete observations
On the transition density and first hitting time distributions of the doubly skewed CIR process
A Markov chain approximation scheme for option pricing under skew diffusions
Efficient piecewise trees for the generalized skew Vasicek model with discontinuous drift

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