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Representations of the first hitting time density of an Ornstein-Uhlenbeck process
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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 ISSN 1532-6349.
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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, Engineering and Medicine > Science > Statistics | ||||||
| Journal or Publication Title: | Stochastic Models | ||||||
| Publisher: | Taylor & Francis Inc. | ||||||
| ISSN: | 1532-6349 | ||||||
| Official Date: | February 2005 | ||||||
| Dates: |
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| 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 |
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