On the first passage times of reflected O-U processes with two-sided barriers
DOI10.1007/S11134-006-0303-9zbMATH Open1114.60047OpenAlexW1983254681MaRDI QIDQ855182FDOQ855182
Lidong Zhang, Lijun Bo, Yongjin Wang
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
Ornstein-Uhlenbeck processboundary value problemfirst passage timenormal reflectiontwo-sided reflected process
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
Cited In (23)
- 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
- On the densities of certain bounded diffusion processes
- Stationary distribution of reflected O-U process with two-sided barriers
- FIRST PASSAGE TIMES OF REFLECTED GENERALIZED ORNSTEIN–UHLENBECK PROCESSES
- 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
- One-Dimensional Reflected Diffusions with Two Boundaries and an Inverse First-Hitting Problem
- On the conditional default probability in a regulated market with jump risk
- Some integral functionals of reflected SDEs and their applications in finance
- A note on stability in distribution of Markov-modulated stochastic differential equations with reflection
- A note on the moments of the first-passage time of the Ornstein-Uhlenbeck process with a reflecting boundary
- Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process
- Title not available (Why is that?)
- Skew Ornstein-Uhlenbeck processes and their financial applications
- First Passage Times of (Reflected) Ornstein-Uhlenbeck Processes Over Random Jump Boundaries
- Piecewise-tunneled captive processes and corridored random particle systems
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