SSRN Author: Yupeng JiangYupeng Jiang SSRN Content
https://privwww.ssrn.com/author=2295884
https://privwww.ssrn.com/rss/en-usTue, 19 May 2020 01:14:39 GMTeditor@ssrn.com (Editor)Tue, 19 May 2020 01:14:39 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: Multiple Barrier-Crossings of an Ornstein-Uhlenbeck Diffusion in Consecutive PeriodsWe 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, alongside an eigenfunction expansion is adopted, with which we first calculate the distribution and the survival functions for the maximum of a homogeneous OU-process in a single interval. By a deterministic time-change and a parameter translation, this result can be extended to an inhomogeneous OU-process. Next, we derive a general formula for the joint distribution and the survival functions for the maxima of a continuous Markov process in consecutive periods. With these results, one can obtain semi-analytical expressions for the joint distribution and the multivariate survival functions for the maxima of an OU-process, with piecewise constant parameter functions, in consecutive time periods. The joint distribution and the survival functions can be evaluated numerically by an iterated quadrature scheme, which ...
https://privwww.ssrn.com/abstract=3334142
https://privwww.ssrn.com/1898080.htmlMon, 18 May 2020 09:46:43 GMTREVISION: Multiple Barrier-Crossings of an Ornstein-Uhlenbeck Diffusion in Consecutive PeriodsWe 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, alongside an eigenfunction expansion is adopted, with which we first calculate the distribution and the survival functions for the maximum of a homogeneous OU-process in a single interval. By a deterministic time-change and a parameter translation, this result can be extended to an inhomogeneous OU-process. Next, we derive a general formula for the joint distribution and the survival functions for the maxima of a continuous Markov process in consecutive periods. With these results, one can obtain semi-analytical expressions for the joint distribution and the multivariate survival functions for the maxima of an OU-process, with piecewise constant parameter functions, in consecutive time periods. The joint distribution and the survival functions can be evaluated numerically by an iterated quadrature scheme, which ...
https://privwww.ssrn.com/abstract=3334142
https://privwww.ssrn.com/1836248.htmlFri, 25 Oct 2019 14:23:38 GMTREVISION: Multiple Barrier-Crossings of an Ornstein-Uhlenbeck Diffusion in Consecutive PeriodsWe 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, alongside an eigenfunction expansion is adopted, with which we first calculate the distribution and the survival functions for the maximum of a homogeneous OU-process in a single interval. By a deterministic time-change and a parameter translation, this result can be extended to an inhomogeneous OU-process. Next, we derive a general formula for the joint distribution and the survival functions for the maxima of a continuous Markov process in consecutive periods. With these results, one can obtain semi-analytical expressions for the joint distribution and the multivariate survival functions for the maxima of an OU-process, with piecewise constant parameter functions, in consecutive time periods. The joint distribution and the survival functions can be evaluated numerically by an iterated quadrature scheme, which ...
https://privwww.ssrn.com/abstract=3334142
https://privwww.ssrn.com/1797903.htmlFri, 14 Jun 2019 22:35:43 GMT