The Stationary Distributions of Two Classes of Reflected Ornstein–Uhlenbeck Processes
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Cites work
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- Linear diffusion with stationary switching regime
- Lévy Processes and Stochastic Calculus
- Martingales and First-Passage Times for Ornstein--Uhlenbeck Processes with a Jump Component
- On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance
- Properties of the reflected Ornstein-Uhlenbeck process
- Simulation run lengths to estimate blocking probabilities
- Tail of a linear diffusion with Markov switching
Cited in
(27)- Stationary distribution of reflected O-U process with two-sided barriers
- Properties of the reflected Ornstein-Uhlenbeck process
- Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes
- Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process
- Bounds and limit theorems for a layered queueing model in electric vehicle charging
- Parameter estimation for generalized diffusion processes with reflected boundary
- Kac-Ornstein-Uhlenbeck processes: stationary distributions and exponential functionals
- A general lower bound of parameter estimation for reflected Ornstein-Uhlenbeck processes
- Markov-modulated Ornstein-Uhlenbeck processes
- On a class of reflected \(\mathrm{AR}(1)\) processes
- Stability of constrained Markov-modulated diffusions
- On the stationary property of a reflected Cox-Ingersoll-Ross interest rate model driven by a Lévy process
- A note on transition density for the reflected Ornstein-Uhlenbeck process
- Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes
- On product-form stationary distributions for reflected diffusions with jumps in the positive orthant
- Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations
- On pricing barrier control in a regime-switching regulated market
- Stationarity of a class of Markov-modulated reflected jump diffusion processes
- The stationary distribution of Ornstein-Uhlenbeck process with a two-state Markov switching
- On a reflected Ornstein-Uhlenbeck process with an application
- A note on the central limit theorem for the idleness process in a one‐sided reflected Ornstein–Uhlenbeck model
- A note on stability in distribution of Markov-modulated stochastic differential equations with reflection
- Heavy-traffic limits for parallel single-server queues with randomly split Hawkes arrival processes
- Limit theorems for reflected Ornstein-Uhlenbeck processes
- On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein-Uhlenbeck processes
- Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes
- Stationary solutions of retarded Ornstein-Uhlenbeck processes in Hilbert spaces
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