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

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.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11386/3136685
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