FIRST PASSAGE TIMES OF REFLECTED GENERALIZED ORNSTEIN–UHLENBECK PROCESSES

DOI10.1142/S0219493712500141zbMath1261.60080OpenAlexW1973010610MaRDI QIDQ4908349

Xuewei Yang, Guijun Ren, Li Jun Bo, Yong Jin Wang

Publication date: 5 March 2013

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493712500141

zbMATH Keywords

Laplace transformMellin transformfirst passage timestable processesOrnstein-Uhlenbeck processesreflected processes

Mathematics Subject Classification ID

Laplace transform (44A10) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items

Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process ⋮ Parameter estimation for generalized diffusion processes with reflected boundary ⋮ 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 ⋮ Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes ⋮ Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes ⋮ A general lower bound of parameter estimation for reflected Ornstein–Uhlenbeck processes ⋮ Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes

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