On the first passage time distribution of an Ornstein–Uhlenbeck process

DOI10.1080/14697680903373684MaRDI QIDQ2994837zbMATH OpenOpenAlexFDO

Authors Chuang Yi

Publication date 29 April 2011

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680903373684

zbMATH Keywords

Ornstein-Uhlenbeck processfirst passage timereflection principleprobability of defaultFortet's lemma

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60) Credit risk (91G40)

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Cites work

• A clarification note about hitting times densities for Ornstein-Uhlenbeck processes
• A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
• Cut-off and hitting times of a sample of Ornstein-Uhlenbeck processes and its average
• Path dependent options on yields in the affine term structure model
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• Valuation of default-sensitive claims under imperfect information

Cited in

(22)

• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• Profit optimization for cattle growing in a randomly fluctuating environment
• A note on transition density for the reflected Ornstein-Uhlenbeck process
• First passage time problem for a drifted Ornstein-Uhlenbeck process
• A micro-to-macro approach to returns, volumes and waiting times
• Survival models based on the Ornstein-Uhlenbeck process
• A first passage time distribution for a discrete version of the Ornstein–Uhlenbeck process
• Mean first passage time and absorption probabilities of a Lévy flier on a finite interval: discrete space and continuous limit via Fock space approach
• On the first hitting time density for a reducible diffusion process
• Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
• Unstable state decay in non-Markovian heat baths and weak signals detection
• Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods
• Semi log-concave Markov diffusions
• A phase transition in the first passage of a Brownian process through a fluctuating boundary with implications for neural coding
• NUMERICAL EXPLORATION OF DYNAMIC BEHAVIOR OF ORNSTEIN-UHLENBECK PROCESSES VIA EHRENFEST PROCESS APPROXIMATION(<Special Issue>Advanced Planning and Scheduling for Supply Chain Management)
• Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
• Valuation of contingent claims with stochastic interest rate and mortality driven by Lévy processes
• On short-term loan interest rate models: a first passage time approach
• Exact solutions of the two-side exit time problems for the Vasicek model
• Statistics of the first passage area functional for an Ornstein–Uhlenbeck process
• On a First-Passage-Time Problem for the Compound Power-Law Process
• Skew Ornstein-Uhlenbeck processes and their financial applications

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