A result on the first-passage time of an Ornstein-Uhlenbeck process

DOI10.1016/J.SPL.2007.04.015zbMath1133.60314OpenAlexW2009472030WikidataQ55940955 ScholiaQ55940955MaRDI QIDQ2471253

Susanne Ditlevsen

Publication date: 22 February 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.04.015

zbMATH Keywords

Laplace transformmartingaleseigenfunctionsconditional momentsHermite polynomials

Mathematics Subject Classification ID

Gaussian processes (60G15)

Related Items (14)

Variational formulas for the exit time of hunt processes generated by semi-Dirichlet forms ⋮ Long- and short-time asymptotics of the first-passage time of the Ornstein–Uhlenbeck and other mean-reverting processes ⋮ Analysis of reflected diffusions via an exponential time-based transformation ⋮ On the reflected Ornstein-Uhlenbeck process with catastrophes ⋮ The first passage time and the dividend value function for one-dimensional diffusion processes between two reflecting barriers ⋮ Moments of the first passage time of one-dimensional diffusion with two-sided barriers ⋮ Polynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times ⋮ On the densities of certain bounded diffusion processes ⋮ Modeling record-breaking stock prices ⋮ Spectral gaps and exponential integrability of hitting times for linear diffusions ⋮ A review of the methods for signal estimation in stochastic diffusion leaky integrate-and-fire neuronal models ⋮ The exit time and the dividend value function for one-dimensional diffusion processes ⋮ On the asymptotic behavior of the parameter estimators for some diffusion processes: application to neuronal models ⋮ Profit optimization for cattle growing in a randomly fluctuating environment

Cites Work

• The Ornstein-Uhlenbeck process as a model for neuronal activity. I. Mean and variance of the firing time
• Path dependent options on yields in the affine term structure model
• Estimating equations based on eigenfunctions for a discretely observed diffusion process
• A first-passage-time analysis of the periodically forced noisy leaky integrate-and-fire model
• Survival models based on the Ornstein-Uhlenbeck process
• A spatial stochastic neuronal model with Ornstein-Uhlenbeck input current
• On the comparison of Feller and Ornstein-Uhlenbeck models for neural activity
• A Theory of the Term Structure of Interest Rates
• Estimation of the input parameters in the Feller neuronal model
• Probability with Martingales
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
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