On the first passage time distribution of an Ornstein–Uhlenbeck process
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Publication:2994837
DOI10.1080/14697680903373684zbMath1221.60114MaRDI QIDQ2994837
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
Ornstein-Uhlenbeck process; first passage time; reflection principle; probability of default; Fortet's lemma
60J60: Diffusion processes
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
91G40: Credit risk
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Cites Work
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- 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