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

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 Linetsky (2005). Finally, an open problem concerning the general cases (reflected at an arbitrary level) is proposed.

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Year of publication:	2012
Authors:	Xing, Xiaoyu ; Xing, Yongsheng ; Yang, Xuewei
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 3, p. 586-591
Publisher:	Elsevier
Subject:	Reflected Ornstein–Uhlenbeck processes \| Long-run level \| Transition density \| Closed-form

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010576156