The Library
Representations of the first hitting time density of an Ornstein-Uhlenbeck process
Tools
Tools
Tools
Alili, Larbi, Patie, P. and Pedersen, J. L. (2005) Representations of the first hitting time density of an Ornstein-Uhlenbeck process. Stochastic Models, Volume 21 (Number 4). pp. 967-980. doi:10.1080/15326340500294702
Research output not available from this repository, contact author.
Official URL: http://dx.doi.org/10.1080/15326340500294702
Abstract
Three expressions are provided for the first hitting time density of an Ornstein-Uhlenbeck process to reach a fixed level. The first hinges on an eigenvalue expansion involving zeros of the parabolic cylinder functions. The second is an integral representation involving some special functions whereas the third is given in terms of a functional of a 3-dimensional Bessel bridge. The expressions are used for approximating the density.
| Item Type: | Journal Article | ||||||
|---|---|---|---|---|---|---|---|
| Divisions: | Faculty of Science > Statistics | ||||||
| Journal or Publication Title: | Stochastic Models | ||||||
| Publisher: | Taylor & Francis Inc. | ||||||
| ISSN: | 1532-6349 | ||||||
| Official Date: | February 2005 | ||||||
| Dates: |
|
||||||
| Volume: | Volume 21 | ||||||
| Number: | Number 4 | ||||||
| Number of Pages: | 13 | ||||||
| Page Range: | pp. 967-980 | ||||||
| DOI: | 10.1080/15326340500294702 | ||||||
| Status: | Peer Reviewed | ||||||
| Publication Status: | Published | ||||||
| Access rights to Published version: | Restricted or Subscription Access |
Request changes or add full text files to a record
Repository staff actions (login required)
 |
View Item |
