An absorption probability for the Ornstein-Uhlenbeck process

DOI10.2307/3212876MaRDI QIDQ4098454zbMATH OpenOpenAlexFDO

Authors John P. Dirkse

Publication date 1975

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3212876

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cited in

(6)

• Uniqueness and blow-up for a stochastic viscous dyadic model
• Crossing probabilities for a square root boundary by a bessel process
• Critical values and p values of Bessel process distributions: computation and application to structural break tests
• Long- and short-time asymptotics of the first-passage time of the Ornstein-Uhlenbeck and other mean-reverting processes
• On the densities of certain bounded diffusion processes
• Sequential detection of common transient signals in high dimensional data stream

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