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A note on transition density for the reflected Ornstein–Uhlenbeck process
- Source :
-
Statistics & Probability Letters . Mar2012, Vol. 82 Issue 3, p586-591. 6p. - Publication Year :
- 2012
-
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]
Details
- Language :
- English
- ISSN :
- 01677152
- Volume :
- 82
- Issue :
- 3
- Database :
- Academic Search Index
- Journal :
- Statistics & Probability Letters
- Publication Type :
- Periodical
- Accession number :
- 70949576
- Full Text :
- https://doi.org/10.1016/j.spl.2011.11.019