Song, Shiyu; Wang, Suxin; Wang, Yongjin - In: Statistics & Probability Letters 96 (2015) C, pp. 212-222
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...
