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

DOI10.1080/14697680903373684zbMATH Open1221.60114OpenAlexW2069176303MaRDI QIDQ2994837FDOQ2994837

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

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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)

Cites Work

• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• A clarification note about hitting times densities for Ornstein-Uhlenbeck processes
• Path dependent options on yields in the affine term structure model
• 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
• 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
• A first passage time distribution for a discrete version of the Ornstein–Uhlenbeck process
• Survival models based on 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
• Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods
• A phase transition in the first passage of a Brownian process through a fluctuating boundary with implications for neural coding
• Semi log-concave Markov diffusions
• Unstable state decay in non-Markovian heat baths and weak signals detection
• 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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