On the first passage time distribution of an Ornstein–Uhlenbeck process (Q2994837): Difference between revisions
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| Property / cites work: Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process<sup>1</sup> / rank | |||
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| Property / cites work: Valuation of default-sensitive claims under imperfect information / rank | |||
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| Property / cites work: A clarification note about hitting times densities for Ornstein-Uhlenbeck processes / rank | |||
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| Property / cites work: Cut-off and hitting times of a sample of Ornstein-Uhlenbeck processes and its average / rank | |||
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| Property / cites work: Path dependent options on yields in the affine term structure model / rank | |||
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| Property / cites work: A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary / rank | |||
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Latest revision as of 23:41, 3 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the first passage time distribution of an Ornstein–Uhlenbeck process |
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Statements
On the first passage time distribution of an Ornstein–Uhlenbeck process (English)
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29 April 2011
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first passage time
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Ornstein-Uhlenbeck process
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probability of default
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reflection principle
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Fortet's lemma
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