Joint law of an Ornstein–Uhlenbeck process and its supremum. (June 2020)
- Record Type:
- Journal Article
- Title:
- Joint law of an Ornstein–Uhlenbeck process and its supremum. (June 2020)
- Main Title:
- Joint law of an Ornstein–Uhlenbeck process and its supremum
- Authors:
- Blanchet-Scalliet, Christophette
Dorobantu, Diana
Gay, Laura - Abstract:
- Abstract: Let X be an Ornstein–Uhlenbeck process driven by a Brownian motion. We propose an expression for the joint density / distribution function of the process and its running supremum. This law is expressed as an expansion involving parabolic cylinder functions. Numerically, we obtain this law faster with our expression than with a Monte Carlo method. Numerical applications illustrate the interest of this result.
- Is Part Of:
- Journal of applied probability. Volume 57:Number 2(2020)
- Journal:
- Journal of applied probability
- Issue:
- Volume 57:Number 2(2020)
- Issue Display:
- Volume 57, Issue 2 (2020)
- Year:
- 2020
- Volume:
- 57
- Issue:
- 2
- Issue Sort Value:
- 2020-0057-0002-0000
- Page Start:
- 541
- Page End:
- 558
- Publication Date:
- 2020-06
- Subjects:
- Ornstein–Uhlenbeck process, -- joint law, -- supremum, -- endpoint, -- Fokker–Planck equation
60J60
519.2 - Journal URLs:
- https://www.cambridge.org/core/journals/journal-of-applied-probability ↗
- DOI:
- 10.1017/jpr.2020.22 ↗
- Languages:
- English
- ISSNs:
- 0021-9002
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 15276.xml