• DocumentCode
    3109174
  • Title

    Moments of last exit times for Ornstein-Uhlenbeck type Markov processes

  • Author

    Wu, Chuanju

  • Author_Institution
    Wuhan Univ. of Sci. & Technol., Wuhan, China
  • fYear
    2011
  • fDate
    26-28 March 2011
  • Firstpage
    1271
  • Lastpage
    1275
  • Abstract
    Ornstein-Uhlenbeck process is widely used in the study of neuronal activity and in electricity markets spot price modeling. Let LB be the last exit time from a compact set B of the Ornstein-Uhlenbeck type Markov process X = (Ω,ℱ, ℱt, Xt, θt, Px) on Rd. A sufficient and necessary condition for Ex[LBη] <; ∞(η >; 0) is expressed in terms of transition probabilities of the process. Based on the condition, a criterion is given for Ex[LBη] <; ∞(η >; 0) using the Levy measure and the coefficient matrix of liner drift term which associate with the process.
  • Keywords
    Markov processes; matrix algebra; Levy measurement; Ornstein-Uhlenbeck type Markov processes; coefficient matrix; electricity markets; neuronal activity; price modeling; Biological system modeling; Electricity; Electricity supply industry; Markov processes; Mathematical model; Transient analysis;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Information Science and Technology (ICIST), 2011 International Conference on
  • Conference_Location
    Nanjing
  • Print_ISBN
    978-1-4244-9440-8
  • Type

    conf

  • DOI
    10.1109/ICIST.2011.5765071
  • Filename
    5765071