Author:
Bo Lijun,Wang Yongjin,Yang Xuewei
Abstract
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.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Reference17 articles.
1. On the transition densities for reflected diffusions
2. On the first passage times of reflected O-U processes with two-sided barriers
3. Bo L. , Tang D. , Wang Y. and Yang X. (2011). On the conditional default probability in a regulated market: a structural approach. Quant. Finance, 8 pp.
4. Li Y. , Wang Y. and Yang X. (2010). On the hitting time density for reflected OU processes: with an application to the regulated market. Preprint.
Cited by
12 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