First hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck process

DOI10.1155/2009/909835MaRDI QIDQ963532zbMATH OpenOpenAlexWikidataFDO

Authors Jean-Luc Guilbault, Mario Lefebvre

Publication date 20 April 2010

Published in International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://eudml.org/doc/227219

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cites work

• A first passage time distribution for a discrete version of the Ornstein–Uhlenbeck process
• First Passage Problems for Asymmetric Wiener Processes
• Forward and reverse representations for Markov chains
• scientific article; zbMATH DE number 1866304 (Why is no real title available?)
• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• scientific article; zbMATH DE number 3083637 (Why is no real title available?)
• Large deviations asymptotics and the spectral theory of multiplicatively regular Markov proces\-ses
• Nonlinear dynamics of chaotic and stochastic systems. Tutorial and modern developments
• Random Walk and the Theory of Brownian Motion
• The discrete uhlenbeck–ornstein process

Cited in

(7)

• Hitting probabilities for the Greenwood model and relations to near constancy oscillation
• On a discrete version of the CIR process
• The problem of discrete Markov diffusion leaving an interval
• First hitting problems for Markov chains that converge to a geometric Brownian motion
• A first passage time distribution for a discrete version of the Ornstein–Uhlenbeck process
• Analysis of the discrete Ornstein-Uhlenbeck process caused by the tick size effect
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹

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