Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods

DOI10.1080/07362994.2020.1818581zbMath1480.60236arXiv1902.05282OpenAlexW3088190243MaRDI QIDQ5155315

Yupeng Jiang, Andrea Macrina, Gareth W. Peters

Publication date: 6 October 2021

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.05282

zbMATH Keywords

Markov processOrnstein-Uhlenbeck processnumerical efficiencyfirst-passage-timeinfinite series approximation and tail convergencemultiple barrier-crossings and joint survival functionquadrature and Monte Carlo schemestime-dependent barriers

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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