On the first passage times of reflected O-U processes with two-sided barriers

DOI10.1007/s11134-006-0303-9zbMath1114.60047OpenAlexW1983254681MaRDI QIDQ855182

Yong Jin Wang, Li-Dong Zhang, Li Jun Bo

Publication date: 4 January 2007

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

Full work available at URL: https://doi.org/10.1007/s11134-006-0303-9

zbMATH Keywords

Ornstein-Uhlenbeck processboundary value problemfirst passage timenormal reflectiontwo-sided reflected process

Mathematics Subject Classification ID

Gaussian processes (60G15) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Inventory, storage, reservoirs (90B05) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites Work

• Properties of the reflected Ornstein-Uhlenbeck process
• A diffusion approximation for a Markovian queue with reneging
• Stochastic differential equations with reflecting boundary conditions
• Applied Probability and Queues

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