Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1

DOI10.1080/15326340500294702zbMath1083.60064OpenAlexW2084538588MaRDI QIDQ5711161

Pierre Patie, Jesper Lund Pedersen, Larbi Alili

Publication date: 9 December 2005

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340500294702

zbMATH Keywords

Fourier transformLaplace transformBessel bridge

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Diffusion processes (60J60)

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Cites Work

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• Eigenvalue expansions for diffusion hitting times
• First-passage-time density and moments of the ornstein-uhlenbeck process
• Approximations of boundary crossing probabilities for a Brownian motion
• On the First Passage Time Probability Problem

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