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