A result on the first-passage time of an Ornstein-Uhlenbeck process

Susanne Ditlevsen

Statistics & Probability Letters, 2007, vol. 77, issue 18, 1744-1749

Abstract: Consider the first time an Ornstein-Uhlenbeck process starting from zero crosses a constant positive threshold. Assuming that the asymptotic mean is above the threshold, conditions on the asymptotic variance relative to the distance between the threshold and the asymptotic mean are given that ensures the finiteness of the positive Laplace transforms.

Keywords: Laplace; transform; Martingales; Eigenfunctions; Conditional; moments; Hermite; polynomials (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (3)

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