On Transition and First Hitting Time Densities and Moments of the Ornstein–Uhlenbeck Process (Q4981818): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1080/15326349.2014.900376 / rank
 
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Latest revision as of 15:50, 8 July 2024

scientific article; zbMATH DE number 6308325
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English
On Transition and First Hitting Time Densities and Moments of the Ornstein–Uhlenbeck Process
scientific article; zbMATH DE number 6308325

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    On Transition and First Hitting Time Densities and Moments of the Ornstein–Uhlenbeck Process (English)
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    25 June 2014
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    Ornstein-Uhlenbeck process
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    first hitting time
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    conditional transition density
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    exponential thresholds
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    Fokker-Planck equation
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