On the transition densities for reflected diffusions

DOI10.1239/aap/1118858633zbMath1073.60074OpenAlexW2103226217MaRDI QIDQ5694152

Vadim Linetsky

Publication date: 29 September 2005

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1118858633

zbMATH Keywords

heavy trafficspectral expansionreflected Brownian motionreflected Ornstein-Uhlenbeck processcurrency target zonereflected affine process

Mathematics Subject Classification ID

Related Items (63)

Long time behavior of stochastic hard ball systems ⋮ Classical ergodicity and modern portfolio theory ⋮ Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process ⋮ Some integral functionals of reflected SDEs and their applications in finance ⋮ Parameter estimation for generalized diffusion processes with reflected boundary ⋮ Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations ⋮ Analysis of reflected diffusions via an exponential time-based transformation ⋮ Outflow probability for drift-diffusion dynamics ⋮ Constant elasticity of variance models with target zones ⋮ Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary ⋮ Last-passage time for linear diffusions and application to the emptying time of a box ⋮ One-Dimensional Reflected Diffusions with Two Boundaries and an Inverse First-Hitting Problem ⋮ On the time-dependent moments of Markovian queues with reneging ⋮ On the reflected Ornstein-Uhlenbeck process with catastrophes ⋮ The hitting time density for a reflected Brownian motion ⋮ Transient analysis of the Erlang A model ⋮ First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps ⋮ Mean-variance portfolio selection in a complete market with unbounded random coefficients ⋮ Heat diffusion with frozen boundary ⋮ Large deviation principles for stochastic volatility models with reflection ⋮ Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes ⋮ Captive jump processes for bounded random systems with discontinuous dynamics ⋮ A note on transition density for the reflected Ornstein-Uhlenbeck process ⋮ On a time-inhomogeneous diffusion process with discontinuous drift ⋮ Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes ⋮ Lévy risk model with two-sided jumps and a barrier dividend strategy ⋮ Can one hear the shape of a target zone? ⋮ A random walk on rectangles algorithm ⋮ Solution of the Fokker-Planck equation with a logarithmic potential and mixed eigenvalue spectrum ⋮ Green's functions and the Cauchy problem of the Burgers hierarchy and forced Burgers equation ⋮ Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes ⋮ A reflected diffusion process in a regime-switching environment ⋮ On the conditional default probability in a regulated market with jump risk ⋮ Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations ⋮ On the transition density and first hitting time distributions of the doubly skewed CIR process ⋮ Estimation of all parameters in the reflected Ornstein-Uhlenbeck process from discrete observations ⋮ A broad view of queueing theory through one issue ⋮ On the rate of convergence to equilibrium for reflected Brownian motion ⋮ Moments of the first passage time of one-dimensional diffusion with two-sided barriers ⋮ On the densities of certain bounded diffusion processes ⋮ Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes ⋮ Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary ⋮ Simulation of diffusions by means of importance sampling paradigm ⋮ Statistical estimation in a randomly structured branching population ⋮ Skew Ornstein-Uhlenbeck processes and their financial applications ⋮ Explicit heat kernels of a model of distorted Brownian motion on spaces with varying dimension ⋮ Asymptotics of the hitting probability for a small sphere and a two dimensional Brownian motion with discontinuous anisotropic drift ⋮ A general lower bound of parameter estimation for reflected Ornstein–Uhlenbeck processes ⋮ Lévy Processes with Two-Sided Reflection ⋮ Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes ⋮ The calculation of expectations for classes of diffusion processes by Lie symmetry methods ⋮ Dynamics and steady states of a tracer particle in a confined critical fluid ⋮ First Passage Times of (Reflected) Ornstein-Uhlenbeck Processes Over Random Jump Boundaries ⋮ A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes ⋮ Spectral gap of the Erlang A model in the Halfin-Whitt regime ⋮ On the rate of convergence to equilibrium for two-sided reflected Brownian motion and for the Ornstein-Uhlenbeck process ⋮ On the construction of a special class of time-inhomogeneous diffusion processes ⋮ Optimal pricing barriers in a regulated market using reflected diffusion processes ⋮ Piecewise-tunneled captive processes and corridored random particle systems ⋮ Properties of the Cox–Ingersoll–Ross Interest Rate Processes with Two-sided Reflections ⋮ On the conditional default probability in a regulated market: a structural approach ⋮ Brownian motion in trapping enclosures: steep potential wells, bistable wells and false bistability of induced Feynman–Kac (well) potentials ⋮ On a family of coupled diffusions that can never change their initial order

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Eigenvalue and eigenfunction asymptotics for regular Sturm-Liouville problems
• A survey and some generalizations of Bessel processes
• Properties of the reflected Ornstein-Uhlenbeck process
• The conditional probability density function for a reflected Brownian motion
• Lookback options and diffusion hitting times: a spectral expansion approach
• A diffusion approximation for a Markovian queue with reneging
• Diffusion processes and their sample paths.
• A simplified proof of the expansion theorem for singular second order linear differential equations
• Two singular diffusion problems
• Applications of Eigenfunction Expansions in Continuous-Time Finance
• Polling Systems in Heavy Traffic: A Bessel Process Limit
• A Theory of the Term Structure of Interest Rates
• On the probability densities of an Ornstein–Uhlenbeck process with a reflecting boundary
• Elementary Solutions for Certain Parabolic Partial Differential Equations
• The Differential Equations of Birth-and-Death Processes, and the Stieltjes Moment Problem
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• Transient behavior of regulated Brownian motion, I: Starting at the origin
• Transient behavior of regulated Brownian motion, II: Non-zero initial conditions
• A decomposition of Bessel Bridges
• Generalized Second-Order Differential Operators, Corresponding Gap Diffusions and Superharmonic Transformations
• Bessel diffusions as a one-parameter family of diffusion processes
• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
• Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism
• Simulation run lengths to estimate blocking probabilities
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• The spectral representation of Bessel processes with constant drift: applications in queueing and finance
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• Spectral Expansions for Asian (Average Price) Options
• A Diffusion Approximation for the G/GI/n/m Queue
• The Confluent Hypergeometric Function
• Heavy-Traffic Limits for the G/H₂*/n/mQueue

This page was built for publication: On the transition densities for reflected diffusions