In this paper we study first passage times of (reflected) Ornstein–Uhlenbeck processes over compound Poisson-type boundaries. In fact, we extend the results of first rendezvous times of (reflected) Brownian motion and compound Poisson-type processes in Perry, Stadje and Zacks (2004) to the (reflected) Ornstein–Uhlenbeck case.

In this short note, the identity in law, which was obtained by P. Salminen [6], between on one hand, the Ornstein-Uhlenbeck process with parameter γ, killed when it reaches 0, and on the other hand, the 3-dimensional radial Ornstein-Uhlenbeck process killed exponentially at rate γ and conditioned to hit 0, is derived from a simple absolute continuity relationship.

We study the Ornstein-Uhlenbeck operator and the Ornstein-Uhlenbeck semigroup in an open convex subset of an infinite dimensional separable Banach space X. This is done by finite dimensional approximation. In particular we prove Logarithmic-Sobolev and Poincaré inequalities, and thanks to these inequalities we deduce spectral properties of the OrnsteinUhlenbeck operator. 2010 Mathematics Subjec...

Also, a process {Yt : t ≥ 0} is said to have independent increments if, for all t0 < t1 < . . . < tn, the n random variables Yt1 − Yt0 , Yt2 − Yt1 , ..., Ytn − Ytn−1 are independent. This condition implies that {Yt : t ≥ 0} is Markovian, but not conversely. The increments are further said to be stationary if, for any t > s and h > 0, the distribution of Yt+h− Ys+h is the same as the distributio...

We introduce the multivariate Ornstein-Uhlenbeck process, solve it analytically, and discuss how it generalizes a vast class of continuous-time and discretetime multivariate processes. Relying on the simple geometrical interpretation of the dynamics of the Ornstein-Uhlenbeck process we introduce cointegration and its relationship to statistical arbitrage. We illustrate an application to swap co...