On the first passage times of reflected O-U processes with two-sided barriers

DOI10.1007/S11134-006-0303-9zbMATH Open1114.60047OpenAlexW1983254681MaRDI QIDQ855182FDOQ855182

Authors: Yongjin Wang, Lijun Bo, Lidong Zhang 

Publication date: 4 January 2007

Published in: Queueing Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11134-006-0303-9

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zbMATH Keywords

Ornstein-Uhlenbeck processboundary value problemfirst passage timenormal reflectiontwo-sided reflected process

Mathematics Subject Classification ID

Gaussian processes (60G15) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Inventory, storage, reservoirs (90B05)

Cites Work

• Applied Probability and Queues
• Stochastic differential equations with reflecting boundary conditions
• Properties of the reflected Ornstein-Uhlenbeck process
• A diffusion approximation for a Markovian queue with reneging

Cited In (26)

• On a reflected Ornstein-Uhlenbeck process with an application
• First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers
• On the conditional default probability in a regulated market: a structural approach
• On the first hitting times to boundary of the reflected O-U process with two-sided barriers
• The hitting time density for a reflected Brownian motion
• Properties of the first passage times of the reflected O-U process with a two-sided barrier
• Moments of the first passage time of one-dimensional diffusion with two-sided barriers
• Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
• One-dimensional reflected diffusions with two boundaries and an inverse first-hitting problem
• On the densities of certain bounded diffusion processes
• Stationary distribution of reflected O-U process with two-sided barriers
• On the reflected Ornstein-Uhlenbeck process with catastrophes
• First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps
• The first passage time and the dividend value function for one-dimensional diffusion processes between two reflecting barriers
• On the conditional default probability in a regulated market with jump risk
• Some integral functionals of reflected SDEs and their applications in finance
• First passage times of (reflected) Ornstein-Uhlenbeck processes over random jump boundaries
• A note on stability in distribution of Markov-modulated stochastic differential equations with reflection
• First passage times of reflected generalized Ornstein-Uhlenbeck processes
• A note on the moments of the first-passage time of the Ornstein-Uhlenbeck process with a reflecting boundary
• The Stationary Distributions of Two Classes of Reflected Ornstein–Uhlenbeck Processes
• Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process
• Title not available (Why is that?)
• A result on the first-passage time of an Ornstein-Uhlenbeck process
• Skew Ornstein-Uhlenbeck processes and their financial applications
• Piecewise-tunneled captive processes and corridored random particle systems

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