On Transition and First Hitting Time Densities and Moments of the Ornstein–Uhlenbeck Process (Q4981818)
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scientific article; zbMATH DE number 6308325
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On Transition and First Hitting Time Densities and Moments of the Ornstein–Uhlenbeck Process |
scientific article; zbMATH DE number 6308325 |
Statements
On Transition and First Hitting Time Densities and Moments of the Ornstein–Uhlenbeck Process (English)
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25 June 2014
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Ornstein-Uhlenbeck process
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first hitting time
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conditional transition density
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exponential thresholds
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Fokker-Planck equation
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