Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods-Reference-Cited by-同舟云学术

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Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods

Published:2020-09-22 Issue:4 Volume:39 Page:569-609
ISSN:0736-2994
Container-title:Stochastic Analysis and Applications
language:en
Short-container-title:Stochastic Analysis and Applications

Author:

Jiang Yupeng¹,Macrina Andrea¹²,Peters Gareth W.³

Affiliation:

1. Department of Mathematics, University College London, London, United Kingdom

2. African Institute for Financial Markets and Risk Management, University of Cape Town, Rondebosch, South Africa

3. Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, United Kingdom

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07362994.2020.1818581

Reference32 articles.

1. A clarification note about hitting times densities for Ornstein-Uhlenbeck processes

2. First-passage-time density and moments of the ornstein-uhlenbeck process

3. On the first passage time distribution of an Ornstein–Uhlenbeck process

4. A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary

5. Pitman, J., Yor, M. (1981). Bessel processes and infinitely divisible laws. In: Williams, D., ed. Stochastic Integrals. Lecture Notes in Mathematics, Vol. 851., Berlin, Heidelberg: Springer.

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. On the heat equation with a moving boundary and applications to hitting times for Brownian motion;Stochastic Analysis and Applications;2023-05-08

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