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

DOI10.1016/J.SPL.2011.11.019zbMATH Open1241.60040OpenAlexW2038057735MaRDI QIDQ419183FDOQ419183

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

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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)

Cites Work

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Cited In (11)

• Title not available (Why is that?)
• On the transition densities for reflected diffusions
• Title not available (Why is that?)
• Properties of the reflected Ornstein-Uhlenbeck process
• On the reflected Ornstein-Uhlenbeck process with catastrophes
• On the probability densities of an Ornstein–Uhlenbeck process with a reflecting boundary
• Large deviation principles for stochastic volatility models with reflection
• A clarification note about hitting times densities for Ornstein-Uhlenbeck processes
• Title not available (Why is that?)
• On a class of reflected \(\mathrm{AR}(1)\) processes
• Title not available (Why is that?)

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