Xing, Xiaoyu; Xing, Yongsheng; Yang, Xuewei - In: Statistics & Probability Letters 82 (2012) 3, pp. 586-591
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...