First hitting times for doubly skewed Ornstein-Uhlenbeck processes

DOI10.1016/J.SPL.2014.09.020MaRDI QIDQ2339552zbMATH OpenOpenAlexFDO

Authors Shiyu Song, Suxin Wang, Yongjin 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

doubly skewed Ornstein-Uhlenbeck processfirst hitting timeLaplace transform

Mathematics Subject Classification ID

Diffusion processes (60J60)

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Cited in

(10)

• On the transition density and first hitting time distributions of the doubly skewed CIR process
• On first hitting times for skew CIR processes
• Quelques martingales associées à l'intégrale du processus d'ornstein- uhlenbeck. application à l'étude despremiers instants d'atteinte
• A Markov chain approximation scheme for option pricing under skew diffusions
• 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
• Efficient piecewise trees for the generalized skew Vasicek model with discontinuous drift
• Cut-off and hitting times of a sample of Ornstein-Uhlenbeck processes and its average
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• Some properties of doubly skewed CIR processes

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