Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151580 | Statistics & Probability Letters | 2015 | 11 Pages |
Abstract
This paper explores the first hitting times for doubly skewed Ornstein–Uhlenbeck (OU) processes. The explicit Laplace transforms of the first hitting times are obtained in terms of Hermite functions, and the means of the first hitting times can be derived as well. We also show the hitting time densities numerically at the end of the paper.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Shiyu Song, Suxin Wang, Yongjin Wang,