Moment generating function of a first hitting place for the integrated Ornstein-Uhlenbeck process

DOI10.1016/0304-4149(89)90080-XMaRDI QIDQ1122869zbMATH OpenOpenAlexFDO

Authors Mario Lefebvre

Publication date 1989

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(89)90080-x

zbMATH Keywords

characteristic functionOrnstein-Uhlenbeck processmoment generating function

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• First hitting place distributions for the Ornstein-Uhlenbeck process
• Quelques martingales associées à l'intégrale du processus d'ornstein- uhlenbeck. application à l'étude despremiers instants d'atteinte
• On the first hitting place of the integrated Wiener process
• On the integral of the sum of squared Ornstein-Uhlenbeck processes
• scientific article; zbMATH DE number 37986

Cites work

• scientific article; zbMATH DE number 3814037 (Why is no real title available?)
• scientific article; zbMATH DE number 3733022 (Why is no real title available?)
• scientific article; zbMATH DE number 3507228 (Why is no real title available?)
• scientific article; zbMATH DE number 3223985 (Why is no real title available?)
• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• A winding problem for a resonator driven by a white noise
• First-Passage Densities of a Two-Dimensional Process
• Hitting Lines with Two-Dimensional Brownian Motion
• Hitting spheres with Brownian motion
• On the First Passage of the Integrated Wiener Process

Cited in

(14)

• Inertial Lévy flights in bounded domains
• Small noise asymptotics and first passage times of integrated Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy processes
• Using a geometric Brownian motion to control a Brownian motion and vice versa
• First-Passage Distributions of Bidimensional Processes
• Moments of first-passage places for jump-diffusion processes
• Exact solution to a first-passage problem for an Ornstein-Uhlenbeck process with jumps and its integral
• On the duration of an epidemic
• Explicit solution for a vector-valued LQG homing problem
• First-passage problems for degenerate two-dimensional diffusion processes
• Random acceleration process on finite intervals under stochastic restarting
• On the first hitting place of the integrated Wiener process
• Mean First-Passage Time to Zero for Wear Processes
• Statistics of the first passage area functional for an Ornstein–Uhlenbeck process
• First-passage problems for diffusion processes with state-dependent jumps

This page was built for publication: Moment generating function of a first hitting place for the integrated Ornstein-Uhlenbeck process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1122869)