First Passage Times of (Reflected) Ornstein-Uhlenbeck Processes Over Random Jump Boundaries

DOI10.1239/jap/1316796910zbMath1239.60079OpenAlexW2063454201MaRDI QIDQ3094688

Xuewei Yang, Li Jun Bo, Yong Jin Wang

Publication date: 25 October 2011

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1316796910

zbMATH Keywords

Ornstein-Uhlenbeck processfirst passage timereflecting barriercompound Poisson-type boundary

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (9)

On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media ⋮ Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process ⋮ The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary ⋮ Nadaraya-Watson estimators for reflected stochastic processes ⋮ Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes ⋮ First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers ⋮ On some functionals of the first passage times in jump models of stochastic volatility ⋮ Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes ⋮ Bounds and limit theorems for a layered queueing model in electric vehicle charging

Cites Work

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• Some integral functionals of reflected SDEs and their applications in finance
• The first rendezvous time of Brownian motion and compound Poisson-type processes
• On the transition densities for reflected diffusions
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹

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