A note on transition density for the reflected Ornstein-Uhlenbeck process

DOI10.1016/J.SPL.2011.11.019MaRDI QIDQ419183zbMATH OpenOpenAlexFDO

Authors Yongsheng Xing, Xuewei Yang, Xiaoyu Xing

Publication date 18 May 2012

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.11.019

zbMATH Keywords

transition densityclosed-formlong-run levelreflected Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Laplace transform (44A10) Transition functions, generators and resolvents (60J35)

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• On the probability densities of an Ornstein–Uhlenbeck process with a reflecting boundary
• On the transition densities for reflected diffusions
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• Properties of the reflected Ornstein-Uhlenbeck process
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• The Stationary Distributions of Two Classes of Reflected Ornstein–Uhlenbeck Processes

Cited in

(11)

• On the probability densities of an Ornstein–Uhlenbeck process with a reflecting boundary
• Large deviation principles for stochastic volatility models with reflection
• On the reflected Ornstein-Uhlenbeck process with catastrophes
• A clarification note about hitting times densities for Ornstein-Uhlenbeck processes
• On a class of reflected \(\mathrm{AR}(1)\) processes
• On the transition densities for reflected diffusions
• scientific article; zbMATH DE number 3988418 (Why is no real title available?)
• Properties of the reflected Ornstein-Uhlenbeck process
• scientific article; zbMATH DE number 1054349 (Why is no real title available?)
• scientific article; zbMATH DE number 2051030 (Why is no real title available?)
• scientific article; zbMATH DE number 7070796 (Why is no real title available?)

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