On Transition and First Hitting Time Densities and Moments of the Ornstein–Uhlenbeck Process

DOI10.1080/15326349.2014.900376zbMath1319.60136OpenAlexW2035470582MaRDI QIDQ4981818

Dirk Veestraeten

Publication date: 25 June 2014

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2014.900376

zbMATH Keywords

Fokker-Planck equationOrnstein-Uhlenbeck processfirst hitting timeconditional transition densityexponential thresholds

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial-boundary value problems for second-order parabolic equations (35K20) Brownian motion (60J65) Diffusion processes (60J60) Series solutions to PDEs (35C10) Fokker-Planck equations (35Q84)

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On a time-inhomogeneous diffusion process with discontinuous drift ⋮ On the construction of a special class of time-inhomogeneous diffusion processes

Cites Work

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