First passage time density of an Ornstein–Uhlenbeck process with broken drift (Q5071667): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1080/15326349.2022.2026790 / rank
 
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Latest revision as of 17:38, 28 July 2024

scientific article; zbMATH DE number 7511764
Language Label Description Also known as
English
First passage time density of an Ornstein–Uhlenbeck process with broken drift
scientific article; zbMATH DE number 7511764

    Statements

    First passage time density of an Ornstein–Uhlenbeck process with broken drift (English)
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    22 April 2022
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    first passage time density
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    joint law of the running supremum and endpoint
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    Fokker-Planck equation
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    Laplace transform
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    Ornstein-Uhlenbeck process
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    piecewise-linear drift
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    Identifiers