Long- and short-time asymptotics of the first-passage time of the Ornstein-Uhlenbeck and other mean-reverting processes

DOI10.1088/1751-8121/AB0836zbMath1507.35290arXiv1810.13010WikidataQ128340625 ScholiaQ128340625MaRDI QIDQ6309009

Richard J. Martin, Richard V. Craster, Michael J. Kearney

Publication date: 30 October 2018

Mathematics Subject Classification ID

Asymptotic behavior of solutions to PDEs (35B40) Geometric theory, characteristics, transformations in context of PDEs (35A30) Soliton theory, asymptotic behavior of solutions of infinite-dimensional Hamiltonian systems (37K40) Lie-Bäcklund and other transformations for infinite-dimensional Hamiltonian and Lagrangian systems (37K35) Fokker-Planck equations (35Q84)

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