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First hitting times for doubly skewed Ornstein–Uhlenbeck processes

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  • Song, Shiyu
  • Wang, Suxin
  • Wang, Yongjin

Abstract

This paper explores the first hitting times for doubly skewed Ornstein–Uhlenbeck (OU) processes. The explicit Laplace transforms of the first hitting times are obtained in terms of Hermite functions, and the means of the first hitting times can be derived as well. We also show the hitting time densities numerically at the end of the paper.

Suggested Citation

  • Song, Shiyu & Wang, Suxin & Wang, Yongjin, 2015. "First hitting times for doubly skewed Ornstein–Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 212-222.
    • Handle: RePEc:eee:stapro:v:96:y:2015:i:c:p:212-222
    DOI: 10.1016/j.spl.2014.09.020
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    References listed on IDEAS

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    1. T. R. A. Corns & S. E. Satchell, 2007. "Skew Brownian Motion and Pricing European Options," The European Journal of Finance, Taylor & Francis Journals, vol. 13(6), pages 523-544.
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    Cited by:

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