Properties of the first passage times of the reflected O-U process with a two-sided barrier

DOI10.1007/S11134-010-9175-0zbMath1231.60057OpenAlexW2007950119MaRDI QIDQ5962128

Li-Dong Zhang, Ziping Du

Publication date: 16 September 2010

Published in: Queueing Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11134-010-9175-0

zbMATH Keywords

Ornstein-Uhlenbeck processthe first passage timestwo-sided reflected processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Inventory, storage, reservoirs (90B05) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (1)

On the densities of certain bounded diffusion processes

Cites Work

• On the first passage times of reflected O-U processes with two-sided barriers
• Properties of the reflected Ornstein-Uhlenbeck process
• A diffusion approximation for a Markovian queue with reneging
• Stochastic differential equations with reflecting boundary conditions

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