A result on the first-passage time of an Ornstein-Uhlenbeck process

DOI10.1016/j.spl.2007.04.015zbMath1133.60314OpenAlexW2009472030WikidataQ55940955 ScholiaQ55940955MaRDI QIDQ2471253

Susanne Ditlevsen

Publication date: 22 February 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.04.015

zbMATH Keywords

Laplace transformmartingaleseigenfunctionsconditional momentsHermite polynomials

Mathematics Subject Classification ID

Gaussian processes (60G15)

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