Computing the first passage time density of a time-dependent Ornstein-Uhlenbeck process to a moving boundary

DOI10.1016/J.AML.2006.02.011zbMath1173.60004OpenAlexW3121788876MaRDI QIDQ2481449

Chi-Fai Lo, Cho-Hoi Hui

Publication date: 10 April 2008

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2006.02.011

zbMATH Keywords

Fokker-Planck equationcomputational methodsfirst passage time densitytime-dependent Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Gaussian processes (60G15) Computational methods for problems pertaining to probability theory (60-08) Brownian motion (60J65) Diffusion processes (60J60)

Related Items (7)

On the computation of the survival probability of Brownian motion with drift in a closed time interval when the absorbing boundary is a step function ⋮ A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries ⋮ Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods ⋮ A phase transition in the first passage of a Brownian process through a fluctuating boundary with implications for neural coding ⋮ Valuation of contingent claims with mortality and interest rate risks ⋮ Double barrier option under regime-switching exponential mean-reverting process ⋮ Mean first passage time and absorption probabilities of a Lévy flier on a finite interval: discrete space and continuous limit via Fock space approach

Cites Work

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• Path dependent options on yields in the affine term structure model
• First passage time problem for a drifted Ornstein-Uhlenbeck process
• Introduction to Theoretical Neurobiology
• A simple approach for pricing barrier options with time-dependent parameters
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• Handbook of stochastic methods for physics, chemistry and natural sciences.

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