The reflected Ornstein-Uhlenbeck process in the presence of catastrophes that occur at exponential rate is considered. Explicit expressions for the transition probability density and for related moments are determined. The first visit time to zero state is also investigated. A systematic computational analysis is performed to elucidate the role played by the parameters.
On the reflected Ornstein-Uhlenbeck process with catastrophes
GIORNO, Virginia;NOBILE, Amelia Giuseppina;
2012-01-01
Abstract
The reflected Ornstein-Uhlenbeck process in the presence of catastrophes that occur at exponential rate is considered. Explicit expressions for the transition probability density and for related moments are determined. The first visit time to zero state is also investigated. A systematic computational analysis is performed to elucidate the role played by the parameters.File in questo prodotto:
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