The probabilistic properties of Vasicek-Ornstein-Uhlenbeck processes

zbMATH Open1363.60109MaRDI QIDQ2823398FDOQ2823398

Authors: Xiangli Zhang, Hong Qiu, Ziping Du, Lidong Zhang 

Publication date: 6 October 2016

Published in: Acta Scientiarum Naturalium Universitatis Nankaiensis (Search for Journal in Brave)

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zbMATH Keywords

Laplace transformiterative linear differential equationsVasicek-Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (3)

• Volterra-type Ornstein-Uhlenbeck processes in space and time
• A bivariate homogeneous stochastic Vasicek diffusion process
• Recurrence properties of term structure models

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