First Hitting Place Probabilities for a Discrete Version of the Ornstein-Uhlenbeck Process

Mario Lefebvre and Jean-Luc Guilbault

International Journal of Mathematics and Mathematical Sciences, 2009, vol. 2009, 1-12

Abstract:

A Markov chain with state space and transition probabilities depending on the current state is studied. The chain can be considered as a discrete Ornstein-Uhlenbeck process. The probability that the process hits before 0 is computed explicitly. Similarly, the probability that the process hits before is computed in the case when the state space is and the transition probabilities are not necessarily the same when is positive and is negative.

Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jijmms:909835

DOI: 10.1155/2009/909835

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