Exact solution to a first-passage problem for an Ornstein-Uhlenbeck process with jumps and its integral

DOI10.1016/J.SPL.2023.109956OpenAlexW4388081619MaRDI QIDQ6192371

Mario Lefebvre

Publication date: 12 February 2024

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2023.109956

zbMATH Keywords

Brownian motionVasicek modelsimilarity variableKolmogorov backward equation

Mathematics Subject Classification ID

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

Cites Work

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• Exit probability for an integrated geometric Brownian motion
• Moment generating function of a first hitting place for the integrated Ornstein-Uhlenbeck process
• On the moments of the integrated geometric Brownian motion
• Integrated stationary Ornstein-Uhlenbeck process, and double integral processes
• A winding problem for a resonator driven by a white noise
• The one-sided barrier problem for an integrated ornstein-uhlenbeck process
• First passage times of a jump diffusion process
• The Laplace Transform of Hitting Times of Integrated Geometric Brownian Motion
• On the First Passage of the Integrated Wiener Process
• L'intégrale du mouvement brownien

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