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

DOI10.1155/2009/909835zbMATH Open1202.60121OpenAlexW2154549693WikidataQ58648524 ScholiaQ58648524MaRDI QIDQ963532FDOQ963532

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)

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

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Mathematics Subject Classification ID

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

Cites Work

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• Nonlinear dynamics of chaotic and stochastic systems. Tutorial and modern developments
• Random Walk and the Theory of Brownian Motion
• Large deviations asymptotics and the spectral theory of multiplicatively regular Markov proces\-ses
• First Passage Problems for Asymmetric Wiener Processes
• Forward and reverse representations for Markov chains
• A first passage time distribution for a discrete version of the Ornstein–Uhlenbeck process
• The discrete uhlenbeck–ornstein process

Cited In (5)

• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• 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
• On a discrete version of the CIR process

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