First passage time density of an Ornstein–Uhlenbeck process with broken drift (Q5071667)
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scientific article; zbMATH DE number 7511764
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | First passage time density of an Ornstein–Uhlenbeck process with broken drift |
scientific article; zbMATH DE number 7511764 |
Statements
First passage time density of an Ornstein–Uhlenbeck process with broken drift (English)
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22 April 2022
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first passage time density
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joint law of the running supremum and endpoint
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Fokker-Planck equation
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Laplace transform
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Ornstein-Uhlenbeck process
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piecewise-linear drift
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