First hitting times for doubly skewed Ornstein-Uhlenbeck processes

DOI10.1016/j.spl.2014.09.020zbMath1321.60157OpenAlexW2043111275MaRDI QIDQ2339552

Suxin Wang, Shiyu Song, Yong Jin Wang

Publication date: 1 April 2015

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

Full work available at URL: https://doi.org/10.1016/j.spl.2014.09.020

zbMATH Keywords

Laplace transformfirst hitting timedoubly skewed Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items (4)

EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT ⋮ Exact solutions of the two-side exit time problems for the Vasicek model ⋮ Parameter estimation for the skew Ornstein-Uhlenbeck processes based on discrete observations ⋮ A Markov chain approximation scheme for option pricing under skew diffusions

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