On a reflected Ornstein-Uhlenbeck process with an application

DOI10.1017/S0004972700029373zbMath0719.60088MaRDI QIDQ5751708

F. A. Attia

Publication date: 1991

Published in: Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

zbMATH Keywords

resolvent operatormoment generating functionfinite storage system

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (3)

On the reflected Ornstein-Uhlenbeck process with catastrophes ⋮ Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes ⋮ Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations

Cites Work

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• The control of a finite dam
• Two-stage output procedure of a finite dam

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