First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps

DOI10.1007/s11134-012-9308-8zbMath1262.60079OpenAlexW1968939237MaRDI QIDQ1934375

Li Jun Bo

Publication date: 28 January 2013

Published in: Queueing Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11134-012-9308-8

zbMATH Keywords

first passage problemreflected Ornstein-Uhlenbeck processessmooth-pasting conditiontwo-sided mixed exponential law

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items (4)

Some explicit results on first exit times for a jump diffusion process involving semimartingale local time ⋮ On first passage times of sticky reflecting diffusion processes with double exponential jumps ⋮ Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps ⋮ On pricing barrier control in a regime-switching regulated market

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