Asymptotic behaviour of ornstein‐uhlenbeck first‐passage‐time density through periodic boundaries

L. Sacerdote

Applied Stochastic Models and Data Analysis, 1990, vol. 6, issue 1, 53-57

Abstract: Use of the integral equation proposed by Buonocore et al.1 is made to obtain the asymptotic form of the first‐passage‐time p.d.f. for a normalized Ornstein‐Uhlenbeck process through a periodic boundary.

Date: 1990
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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmda:v:6:y:1990:i:1:p:53-57

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