First hitting times for doubly skewed Ornstein–Uhlenbeck processes

Shiyu Song, Suxin Wang and Yongjin Wang

Statistics & Probability Letters, 2015, vol. 96, issue C, 212-222

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: Doubly skewed OU process; First hitting time; Laplace transform (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:96:y:2015:i:c:p:212-222

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DOI: 10.1016/j.spl.2014.09.020

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