First hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck process
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Publication:963532
DOI10.1155/2009/909835zbMath1202.60121OpenAlexW2154549693WikidataQ58648524 ScholiaQ58648524MaRDI QIDQ963532
Mario Lefebvre, Jean-Luc Guilbault
Publication date: 20 April 2010
Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/227219
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)
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First hitting problems for Markov chains that converge to a geometric Brownian motion, Analysis of the Discrete Ornstein-Uhlenbeck Process Caused by the Tick Size Effect, On a discrete version of the CIR process
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