First passage times of reflected generalized Ornstein-Uhlenbeck processes

DOI10.1142/S0219493712500141MaRDI QIDQ4908349zbMATH OpenOpenAlexFDO

Authors Guijun Ren, Xuewei Yang, Lijun Bo, Yongjin Wang

Publication date 5 March 2013

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219493712500141

zbMATH Keywords

first passage timeLaplace transformMellin transformOrnstein-Uhlenbeck processesreflected processesstable processes

Mathematics Subject Classification ID

Laplace transform (44A10) Continuous-time Markov processes on discrete state spaces (60J27)

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Cites work

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Cited in

(20)

• Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes
• First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps
• Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process
• Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps
• Small noise asymptotics and first passage times of integrated Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy processes
• Parameter estimation for generalized diffusion processes with reflected boundary
• Some explicit results on first exit times for a jump diffusion process involving semimartingale local time
• A general lower bound of parameter estimation for reflected Ornstein-Uhlenbeck processes
• On the first passage time distribution of an Ornstein–Uhlenbeck process
• First passage times of (reflected) Ornstein-Uhlenbeck processes over random jump boundaries
• scientific article; zbMATH DE number 3896044 (Why is no real title available?)
• Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes
• Problem of first passage time of a reflected stochastic volatility model
• On first passage times of sticky reflecting diffusion processes with double exponential jumps
• First passage phenomena from the new perspective and generalized maximal loss
• scientific article; zbMATH DE number 6795362 (Why is no real title available?)
• Properties of the first passage times of the reflected O-U process with a two-sided barrier
• Trajectory fitting estimation for non-homogeneous reflected Ornstein–Uhlenbeck process driven by an α -stable process
• Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes
• On the first passage times of reflected O-U processes with two-sided barriers

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