Moment generating function of a first hitting place for the integrated Ornstein-Uhlenbeck process
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DOI10.1016/0304-4149(89)90080-XzbMATH Open0676.60062OpenAlexW2072883368MaRDI QIDQ1122869FDOQ1122869
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
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Cites Work
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- Hitting Lines with Two-Dimensional Brownian Motion
- A winding problem for a resonator driven by a white noise
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- On the First Passage of the Integrated Wiener Process
- Title not available (Why is that?)
- Hitting spheres with Brownian motion
- Title not available (Why is that?)
- First-Passage Densities of a Two-Dimensional 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
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