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First hitting place distributions for the Ornstein-Uhlenbeck process

✍ Scribed by Mario Lefebvre

Publisher: Elsevier Science
Year: 1997
Tongue: English
Weight: 122 KB
Volume: 34
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(96)00195-2

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✦ Synopsis

Let x(t) be an Ornstein-Uhlenbeck process and y(t) a diffusion process. Formulae are obtained for the characteristic and probability density functions of x(T(y)), where T(y) is the first passage time of y(t) to the boundary y(t) --d, starting from y.

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