On the reflected Ornstein-Uhlenbeck process with catastrophes

DOI10.1016/J.AMC.2012.04.086MaRDI QIDQ387693zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Virginia Giorno, Amelia G. Nobile, R. di Cesare

Publication date 23 December 2013

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2012.04.086

zbMATH Keywords

jump diffusionfirst passage timesteady-state distributionfirst visit timetransient densities

Mathematics Subject Classification ID

Diffusion processes (60J60)

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Cited in

(11)

• A note on the central limit theorem for the idleness process in a one‐sided reflected Ornstein–Uhlenbeck model
• A continuous-time Ehrenfest model with catastrophes and its jump-diffusion approximation
• Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary
• A note on transition density for the reflected Ornstein-Uhlenbeck process
• Skew Ornstein-Uhlenbeck processes and their financial applications
• scientific article; zbMATH DE number 3988418 (Why is no real title available?)
• Properties of the reflected Ornstein-Uhlenbeck process
• Analysis of reflected diffusions via an exponential time-based transformation
• Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes
• Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary
• Limit theorems for reflected Ornstein-Uhlenbeck processes

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