NUMERICAL EXPLORATION OF DYNAMIC BEHAVIOR OF ORNSTEIN-UHLENBECK PROCESSES VIA EHRENFEST PROCESS APPROXIMATION(<Special Issue>Advanced Planning and Scheduling for Supply Chain Management)

DOI10.15807/jorsj.49.256zbMath1140.60020OpenAlexW338279209MaRDI QIDQ5423047

Hui Jin, Ushio Sumita, Jun-Ya Gotoh

Publication date: 30 October 2007

Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15807/jorsj.49.256

zbMATH Keywords

Markov processOrnstein-Uhlenbeck processconvergence in lawnumerical approximationfirst passage timedynamic behaviorEhrenfest processhistorical maximum

Mathematics Subject Classification ID

Gaussian processes (60G15) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

Related Items (3)

Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions ⋮ Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options ⋮ The Continuous-Time Ehrenfest Process in Term Structure Modelling

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