Skew Ornstein-Uhlenbeck processes and their financial applications

DOI10.1016/j.cam.2014.06.023zbMath1304.60046OpenAlexW2045212949MaRDI QIDQ2510020

Suxin Wang, Shiyu Song, Yong Jin Wang

Publication date: 31 July 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2014.06.023

zbMATH Keywords

Laplace transformspectral expansiontransition densitiesfirst hitting timeskew Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Credit risk (91G40)

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