On the reflected Ornstein–Uhlenbeck process with catastrophes
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摘要
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.
论文关键词：Jump diffusion,Steady-state distribution,Transient densities,First passage time,First visit time
论文评审过程：Available online 21 June 2012.
论文官网地址：https://doi.org/10.1016/j.amc.2012.04.086
