Asymptotics of Absorption Probabilities for Ornstein-Uhlenbeck Processes

DOI10.1080/17442509308833824MaRDI QIDQ4311569zbMATH OpenOpenAlexFDO

Authors Ian Iscoe, David R. Mcdonald

Publication date 30 October 1994

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509308833824

zbMATH Keywords

Dirichlet problemharmonic oscillatorOrnstein-Uhlenbeck processprincipal eigenvalue

Mathematics Subject Classification ID

Diffusion processes (60J60)

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Cites work

• Induced Dirichlet forms and capacitary inequalities
• Large deviations for \(\ell ^ 2\)-valued Ornstein-Uhlenbeck processes

Cited in

(13)

• A joint absorption-Mahonian process
• Asymptotics of Yule's nonsense correlation for Ornstein-Uhlenbeck paths: a Wiener chaos approach
• Almost sure asymptotic for Ornstein-Uhlenbeck processes of Poisson potential
• Analytical survival analysis of the Ornstein-Uhlenbeck process
• Asymptotics of absorption probabilities for ornstein-uhlenbeck processes
• Absorbing process in recursive stochastic equations
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• Domain of attraction of the quasi-stationary distributions for the Ornstein-Uhlenbeck process
• scientific article; zbMATH DE number 7470633 (Why is no real title available?)
• Asymptotic behaviour of d-variate absorption distributions, d = 1, 2
• Mean first exit times of Ornstein–Uhlenbeck processes in high-dimensional spaces
• Asymptotic results for the absorption time of telegraph processes with a non-standard barrier at the origin

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