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

DOI10.1016/J.SPL.2007.04.015MaRDI QIDQ2471253zbMATH OpenOpenAlexWikidataFDO

Authors 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

conditional momentseigenfunctionsHermite polynomialsLaplace transformmartingales

Mathematics Subject Classification ID

Gaussian processes (60G15)

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Cites work

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• A spatial stochastic neuronal model with Ornstein-Uhlenbeck input current
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• Path dependent options on yields in the affine term structure model
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Cited in

(27)

• On the asymptotic behavior of the parameter estimators for some diffusion processes: application to neuronal models
• Modeling record-breaking stock prices
• The first passage time and the dividend value function for one-dimensional diffusion processes between two reflecting barriers
• Variational formulas for the exit time of hunt processes generated by semi-Dirichlet forms
• The exit time and the dividend value function for one-dimensional diffusion processes
• The estimates of the mean first exit time from a ball for the \(\alpha \)-stable Ornstein-Uhlenbeck processes
• Small noise asymptotics and first passage times of integrated Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy processes
• A recursion formula for the moments of the first passage time of the Ornstein-Uhlenbeck process
• On the first passage time distribution of an Ornstein–Uhlenbeck process
• A lower bound for the first passage time density of the suprathreshold Ornstein-Uhlenbeck process
• Analysis of reflected diffusions via an exponential time-based transformation
• scientific article; zbMATH DE number 3896044 (Why is no real title available?)
• scientific article; zbMATH DE number 3940368 (Why is no real title available?)
• On the reflected Ornstein-Uhlenbeck process with catastrophes
• A first passage time distribution for a discrete version of the Ornstein–Uhlenbeck process
• Long- and short-time asymptotics of the first-passage time of the Ornstein-Uhlenbeck and other mean-reverting processes
• Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods
• Profit optimization for cattle growing in a randomly fluctuating environment
• Polynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times
• On the densities of certain bounded diffusion processes
• Cut-off and hitting times of a sample of Ornstein-Uhlenbeck processes and its average
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• Statistics of the first passage area functional for an Ornstein–Uhlenbeck process
• The first-passage area of Ornstein-Uhlenbeck process revisited
• Spectral gaps and exponential integrability of hitting times for linear diffusions
• Moments of the first passage time of one-dimensional diffusion with two-sided barriers
• A review of the methods for signal estimation in stochastic diffusion leaky integrate-and-fire neuronal models

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