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The Stationary Distributions of Two Classes of Reflected Ornstein–Uhlenbeck Processes
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Mathematical economics
Published online by Cambridge University Press: 14 July 2016
Abstract
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In this paper we consider two classes of reflected Ornstein–Uhlenbeck (OU) processes: the reflected OU process with jumps and the Markov-modulated reflected OU process. We prove that their stationary distributions exist. Furthermore, for the jump reflected OU process, the Laplace transform (LT) of the stationary distribution is given. As for the Markov-modulated reflected OU process, we derive an equation satisfied by the LT of the stationary distribution.
MSC classification
Secondary:
91B70: Stochastic models
- Type
- Research Article
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- Copyright
- Copyright © Applied Probability Trust 2009
Footnotes
Supported by NSF 10671052.
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