An absorption probability for the Ornstein-Uhlenbeck process
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Publication:4098454
DOI10.2307/3212876zbMath0332.60056OpenAlexW2317225411MaRDI QIDQ4098454
Publication date: 1975
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3212876
Stopping times; optimal stopping problems; gambling theory (60G40) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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