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First Passage Times of (Reflected) Ornstein-Uhlenbeck Processes Over Random Jump Boundaries

Part of: Special processes Markov processes

Published online by Cambridge University Press:  14 July 2016

Lijun Bo ,
Yongjin Wang  and
Xuewei Yang
Lijun Bo*
Affiliation:
Xidian University
Yongjin Wang*
Affiliation:
Nankai University
Xuewei Yang*
Affiliation:
Nankai University and University of Illinois
*
∗ Postal address: Department of Mathematics, Xidian University, Xi'an 710071, P. R. China.
∗∗ Postal address: School of Business, Nankai University, Tianjin 300071, P. R. China.
∗∗∗ Postal address: School of Mathematical Sciences, Nankai University, Tianjin 300071, P. R. China. Email address: xwyangnk@yahoo.com.cn
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Abstract

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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.

Keywords

First passage timeOrnstein-Uhlenbeck processreflecting barriercompound Poisson-type boundary

MSC classification

Secondary: 60J60: Diffusion processes 60K10: Applications (reliability, demand theory, etc.)

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 48 , Issue 3 , September 2011 , pp. 723 - 732
Copyright
Copyright © Applied Probability Trust 2011 

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