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First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers

Part of: Markov processes Special processes

Published online by Cambridge University Press:  30 January 2018

Lijun Bo  and
Chen Hao
Lijun Bo*
Affiliation:
Xidian University
Chen Hao*
Affiliation:
Xidian University
*
∗ Postal address: Department of Mathematics, Xidian University, No. 2 South Taibai Road, Xi'an 710071, P. R. China.
∗ Postal address: Department of Mathematics, Xidian University, No. 2 South Taibai Road, Xi'an 710071, P. R. China.
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Abstract

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In this paper we explore the first passage times of constant-elasticity-of-variance (CEV) processes with two-sided reflecting barriers. The explicit Laplace transforms of the first passage times are derived. Our results can include analytic formulae concerning Laplace transforms of first passage times of reflected Ornstein–Uhlenbeck processes, reflected geometric Brownian motions, and reflected square-root processes.

Keywords

First passage timeCEV processreflecting barrier

MSC classification

Primary: 60J60: Diffusion processes
Secondary: 60K10: Applications (reliability, demand theory, etc.)
Type
Research Article
Information
Journal of Applied Probability , Volume 49 , Issue 4 , December 2012 , pp. 1119 - 1133
Copyright
© Applied Probability Trust 

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