A clarification note about hitting times densities for Ornstein-Uhlenbeck processes (Q1776005): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A clarification note about hitting times densities for Ornstein-Uhlenbeck processes |
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A clarification note about hitting times densities for Ornstein-Uhlenbeck processes (English)
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20 May 2005
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The authors note that the formula given in the correction note by \textit{B. Leblanc, O. Renault} and \textit{O. Scaillet} [ibid. 4, No. 1, 109--111 (2000; Zbl 0944.60027)] for the distribution of the first hitting time of \(b\) by an Ornstein-Uhlenbeck process starting from \(a\) is true only in the case \(b=0\). A correction to the formula is proposed.
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hitting time
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Ornstein-Uhlenbeck process
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