On the reflected Ornstein-Uhlenbeck process with catastrophes

作者：Giorno V; Nobile A G^*; di Cesare R

来源：Applied Mathematics and Computation, 2012, 218(23): 11570-11582.

DOI：10.1016/j.amc.2012.04.086

• Jump diffusion
• Steady-state distribution
• Transient densities
• First passage time
• First visit time

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.

• 出版日期2012-8-1