First hitting times for doubly skewed Ornstein–Uhlenbeck processes

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.

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Year of publication:	2015
Authors:	Song, Shiyu ; Wang, Suxin ; Wang, Yongjin
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 96.2015, C, p. 212-222
Publisher:	Elsevier
Subject:	Doubly skewed OU process \| First hitting time \| Laplace transform

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011115962