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On the Distribution of the Integrated Square of the Ornstein-Uhlenbeck Process

โœ Scribed by Thad Dankel, Jr.


Book ID
124890212
Publisher
Society for Industrial and Applied Mathematics
Year
1991
Tongue
English
Weight
517 KB
Volume
51
Category
Article
ISSN
0036-1399

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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.