First hitting place distributions for the Ornstein-Uhlenbeck process

Mario Lefebvre

Statistics & Probability Letters, 1997, vol. 34, issue 3, 309-312

Abstract: 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.

Keywords: Hitting; place; Brownian; motion; Parabolic; cylinder; function (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (1)

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