On the reflected Ornstein-Uhlenbeck process with catastrophes

DOI10.1016/j.amc.2012.04.086zbMath1286.60076OpenAlexW2023548909WikidataQ63434431 ScholiaQ63434431MaRDI QIDQ387693

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

zbMATH Keywords

first passage timesteady-state distributionjump diffusionfirst visit timetransient densities

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items (7)

Analysis of reflected diffusions via an exponential time-based transformation ⋮ Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary ⋮ A continuous-time Ehrenfest model with catastrophes and its jump-diffusion approximation ⋮ A note on the central limit theorem for the idleness process in a one‐sided reflected Ornstein–Uhlenbeck model ⋮ 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 ⋮ Skew Ornstein-Uhlenbeck processes and their financial applications

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