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1. A note on transition density for the reflected Ornstein–Uhlenbeck process

Author

Xing, Xiaoyu, Xing, Yongsheng, and Yang, Xuewei

Subjects
*ORNSTEIN-Uhlenbeck process, *MARTINGALES (Mathematics), *MATHEMATICAL forms, *EQUATIONS, *MATHEMATICAL analysis, *NUMERICAL analysis
Abstract

Abstract: This note focuses on the Ornstein–Uhlenbeck process reflected at its long-run level (or long-run mean). The analytical closed-form of the transition density is obtained by virtue of the Skorokhod equation and the time-change for martingales. Our result is consistent with that presented by . Finally, an open problem concerning the general cases (reflected at an arbitrary level) is proposed. [Copyright &y& Elsevier]

Published
2012
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