Exact solutions of the two-side exit time problems for the Vasicek model

Jingmin He and Fangling Wu

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 24, 8625-8633

Abstract: Exit times of diffusion processes play an important role in the application of finance, insurance, biology, engineering, and so on. This article investigates the two-side exit time problems for the Vasicek model. By using Strong Markov property, the Laplace–Stieltjes transform (LST) of some exit times are obtained. And then the results are used to figure out the probability and mathematical expectation of the exit times. Finally, numerical examples are given to illustrate the applications of the LST of some exit times.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:51:y:2022:i:24:p:8625-8633

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DOI: 10.1080/03610926.2021.1901921

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