collaborators

1 paper

math.PR2019

Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods

Yupeng Jiang, Andrea Macrina, Gareth W. Peters

We investigate the joint distribution and the multivariate survival functions for the maxima of an Ornstein-Uhlenbeck (OU) process in consecutive time-intervals. A PDE method, alon…