First hitting place distributions for the Ornstein-Uhlenbeck process

DOI10.1016/S0167-7152(96)00195-2MaRDI QIDQ1380663zbMATH OpenFDO

Authors Mario Lefebvre

Publication date 13 July 1998

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-7152(96)00195-2

zbMATH Keywords

Brownian motionparabolic cylinder function

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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(15)

• Moment generating function of a first hitting place for the integrated Ornstein-Uhlenbeck process
• A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
• Moments of first-passage places for jump-diffusion processes
• First hitting times for doubly skewed Ornstein-Uhlenbeck processes
• Quelques martingales associées à l'intégrale du processus d'ornstein- uhlenbeck. application à l'étude despremiers instants d'atteinte
• scientific article; zbMATH DE number 4180476 (Why is no real title available?)
• Geometric bounds on the Ornstein-Uhlenbeck velocity process
• Autoregressive processes and first-hit probabilities for randomized random walks
• scientific article; zbMATH DE number 2098677 (Why is no real title available?)
• On the first hitting time density for a reducible diffusion process
• First-passage problems for diffusion processes with state-dependent jumps
• The probability distributions of the first hitting times of radial Ornstein-Uhlenbeck processes
• Hitting place probabilities for two-dimensional diffusion processes
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• First hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck process

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