Properties of the first passage times of the reflected O-U process with a two-sided barrier

Authors:
Lidong Zhang;Ziping Du
Affiliations:
Department of Mathematics, Tianjin University of Science & Technology, Tianjin, China 300457;College of Economics & Management, Tianjin University of Science & Technology, Tianjin, China 300222
Venue:
Queueing Systems: Theory and Applications
Year:
2010

Citing 3
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Properties of the Reflected Ornstein–Uhlenbeck Process

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On the first passage times of reflected O-U processes with two-sided barriers

Queueing Systems: Theory and Applications

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Abstract

In this paper, we give the Laplace transform of the first passage times and obtain the analytic expression of its mean for the reflected Ornstein---Uhlenbeck process with a two-sided barrier for general coefficients.