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)

Review text

Summary: A Markov chain with state space \({0,\ldots ,N}\) and transition probabilities depending on the current state is studied. The chain can be considered as a discrete Ornstein-Uhlenbeck process. The probability that the process hits \(N\) before 0 is computed explicitly. Similarly, the probability that the process hits \(N\) before \( - M\) is computed in the case when the state space is \({ - M,\ldots ,0,\ldots ,N}\) and the transition probabilities \(p_{i,i+1}\) are not necessarily the same when \(i\) is positive and when \(i\) is negative.

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Cites work

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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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