FIRST PASSAGE TIMES OF (REFLECTED) ORNSTEIN-UHLENBECK PROCESSES OVER RANDOM JUMP BOUNDARIES

被引：0

作者：

Bo, Lijun ^{[1
]}

Wang, Yongjin ^{[2
]}

Yang, Xuewei ^{[2
,3
]}

机构：

[1] Xidian Univ, Dept Math, Xian 710071, Peoples R China

[2] Nankai Univ, Tianjin 300071, Peoples R China

[3] Univ Illinois, Chicago, IL 60680 USA

来源：

JOURNAL OF APPLIED PROBABILITY | 2011年 / 48卷 / 03期

关键词：

First passage time; Ornstein-Uhlenbeck process; reflecting barrier; compound Poisson-type boundary;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we study first passage times of (reflected) Ornstein-Uhlenbeck processes over compound Poisson-type boundaries. In fact, we extend the results of first rendezvous times of (reflected) Brownian motion and compound Poisson-type processes in Perry, Stadje and Zacks (2004) to the (reflected) Ornstein-Uhlenbeck case.

引用

页码：723 / 732

页数：10

共 17 条

[1] Representations of the first hitting time density of an Ornstein-Uhlenbeck process [J].