A clarification note about hitting times densities for Ornstein-Uhlenbeck processes

Characteristic functions; other transforms (60E10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Sample path properties (60G17)

Recommendations

scientific article; zbMATH DE number 7070796
On transition and first hitting time densities and moments of the Ornstein-Uhlenbeck process
Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
Cut-off and hitting times of a sample of Ornstein-Uhlenbeck processes and its average
The probability distributions of the first hitting times of radial Ornstein-Uhlenbeck processes
Publication:4505980
scientific article; zbMATH DE number 3988418
On the probability densities of an Ornstein–Uhlenbeck process with a reflecting boundary
A note on transition density for the reflected Ornstein-Uhlenbeck process

Cited in

(19)

Explicit asymptotics on first passage times of diffusion processes
On the excursion theory for linear diffusions
Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
Mean-field limit of a stochastic particle system smoothly interacting through threshold hitting-times and applications to neural networks with dendritic component
Bachelier model with stopping time and its insurance application
Old problems, classical methods, new solutions
A note on transition density for the reflected Ornstein-Uhlenbeck process
Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation
Skew Ornstein-Uhlenbeck processes and their financial applications
On transition and first hitting time densities and moments of the Ornstein-Uhlenbeck process
Cut-off and hitting times of a sample of Ornstein-Uhlenbeck processes and its average
Long- and short-time asymptotics of the first-passage time of the Ornstein-Uhlenbeck and other mean-reverting processes
A comparison of ancestral state reconstruction methods for quantitative characters
On the first hitting time density for a reducible diffusion process
Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
Maximum Likelihood Decoding of Neuronal Inputs from an Interspike Interval Distribution
On absolutely continuous compensators and nonlinear filtering equations in default risk models
Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods
On the first passage time distribution of an Ornstein–Uhlenbeck process

This page was built for publication: A clarification note about hitting times densities for Ornstein-Uhlenbeck processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1776005)