Computing the first passage time density of a time-dependent Ornstein-Uhlenbeck process to a moving boundary (Q2481449)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computing the first passage time density of a time-dependent Ornstein-Uhlenbeck process to a moving boundary |
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Computing the first passage time density of a time-dependent Ornstein-Uhlenbeck process to a moving boundary (English)
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10 April 2008
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Starting from the Fokker-Planck equation for a time-dependent Ornstein-Uhlenbeck process the authors describe a closed-form formula for the first passage time density for a class of time-dependent parametrized moving boundaries. By optimal adjustment the authors apply this representation in order to obtain an upper and a lower bound approximation for the first passage time density for fixed boundary.
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computational methods
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first passage time density
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Fokker-Planck equation
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time-dependent Ornstein-Uhlenbeck process
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