On the reflected Ornstein-Uhlenbeck process with catastrophes

DOI10.1016/J.AMC.2012.04.086zbMATH Open1286.60076DBLPjournals/amc/GiornoNC12OpenAlexW2023548909WikidataQ63434431 ScholiaQ63434431MaRDI QIDQ387693FDOQ387693

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

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

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zbMATH Keywords

jump diffusion first passage time steady-state distribution first visit time transient densities

Mathematics Subject Classification ID

Diffusion processes (60J60)

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Properties of the reflected Ornstein-Uhlenbeck process
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Diffusion limits for congestion models
On a reflected Ornstein-Uhlenbeck process with an application
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Cited In (10)

A note on the central limit theorem for the idleness process in a one‐sided reflected Ornstein–Uhlenbeck model
Title not available (Why is that?)
Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary
Properties of the reflected Ornstein-Uhlenbeck process
Analysis of reflected diffusions via an exponential time-based transformation
Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary
Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes
Skew Ornstein-Uhlenbeck processes and their financial applications
Limit theorems for reflected Ornstein-Uhlenbeck processes
A continuous-time Ehrenfest model with catastrophes and its jump-diffusion approximation

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