First hitting times for doubly skewed Ornstein-Uhlenbeck processes

DOI10.1016/J.SPL.2014.09.020zbMATH Open1321.60157OpenAlexW2043111275MaRDI QIDQ2339552FDOQ2339552

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

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zbMATH Keywords

Laplace transformfirst hitting timedoubly skewed Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Diffusion processes (60J60)

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Cited In (9)

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

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