A note on transition density for the reflected Ornstein–Uhlenbeck process

Xiaoyu Xing, Yongsheng Xing and Xuewei Yang ()

Statistics & Probability Letters, 2012, vol. 82, issue 3, 586-591

Abstract: This note focuses on the Ornstein–Uhlenbeck process reflected at its long-run level (or long-run mean). The analytical closed-form of the transition density is obtained by virtue of the Skorokhod equation and the time-change for martingales. Our result is consistent with that presented by Linetsky (2005). Finally, an open problem concerning the general cases (reflected at an arbitrary level) is proposed.

Keywords: Reflected Ornstein–Uhlenbeck processes; Long-run level; Transition density; Closed-form (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715211003737
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:82:y:2012:i:3:p:586-591

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2011.11.019

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().