On the First Hitting Times to Boundary of the Reflected O-U Process with Two-Sided Barriers
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چکیده
In this paper, we give the Laplace transform of the first hitting times to boundary and obtain its expectation on the reflected Ornstein-Uhlenbeck process with two-sided barriers. Finally,a comparison theorem is derived. Mathematics Subject Classification: 60H10
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تاریخ انتشار 2013