On the first passage times of reflected O-U processes with two-sided barriers (Q855182)
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scientific article; zbMATH DE number 5081653
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the first passage times of reflected O-U processes with two-sided barriers |
scientific article; zbMATH DE number 5081653 |
Statements
On the first passage times of reflected O-U processes with two-sided barriers (English)
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4 January 2007
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The Laplace transform of the first passage times of reflected Ornstein-Uhlenbeck processes with two-sided barriers is given. The results are derived by means of solving the related boundary value problem for the differential infinitesimal operator of the strong Markov Ornstein-Uhlenbeck process and by applying the normal-reflection conditions at the reflecting barriers.
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Ornstein-Uhlenbeck process
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two-sided reflected process
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first passage time
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boundary value problem
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normal reflection
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0.97829366
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0.9527987
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0.92298305
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0.91553247
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0.9153207
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0.8981618
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0.89464706
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0.89374006
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0.88964534
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