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Properties of the first passage times of the reflected O-U process with a two-sided barrier

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Abstract

In this paper, we give the Laplace transform of the first passage times and obtain the analytic expression of its mean for the reflected Ornstein–Uhlenbeck process with a two-sided barrier for general coefficients.

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Authors and Affiliations

  1. Department of Mathematics, Tianjin University of Science & Technology, Tianjin, 300457, China

    Lidong Zhang

  2. College of Economics & Management, Tianjin University of Science & Technology, Tianjin, 300222, China

    Ziping Du

Authors
  1. Lidong Zhang
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  2. Ziping Du
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Corresponding author

Correspondence to Lidong Zhang.

Additional information

This work was supported by the National Natural Science Foundation of China (Grant Nos. 70671074, 10901119) and the Research Foundation of Tianjin University of Science and Technology (Grant No. 20080207).

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Zhang, L., Du, Z. Properties of the first passage times of the reflected O-U process with a two-sided barrier. Queueing Syst 65, 229–236 (2010). https://doi.org/10.1007/s11134-010-9175-0

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  • DOI: https://doi.org/10.1007/s11134-010-9175-0

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