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On the first passage times of reflected O-U processes with two-sided barriers

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Abstract

In this article, we give the Laplace transform of the first passage times of reflected Ornstein-Uhlenbeck process with two-sided barriers.

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Authors and Affiliations

  1. Department of Mathematics, Xidian University, Xi’an, 710071, China

    Lijun Bo

  2. School of Mathematical Sciences, Nankai University, Tianjin, 300071, China

    Lijun Bo & Yongjin Wang

  3. Department of Mathematics, Tianjin University of Science & Technology, Tianjin, 300222, China

    Lidong Zhang

Authors
  1. Lijun Bo
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  2. Lidong Zhang
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  3. Yongjin Wang
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Corresponding author

Correspondence to Yongjin Wang.

Additional information

AMS Subject Classifications 60H10 · 60G40 · 90B05

Supported by NSF of China.

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Bo, L., Zhang, L. & Wang, Y. On the first passage times of reflected O-U processes with two-sided barriers. Queueing Syst 54, 313–316 (2006). https://doi.org/10.1007/s11134-006-0303-9

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  • DOI: https://doi.org/10.1007/s11134-006-0303-9

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