Long- and short-time asymptotics of the first-passage time of the Ornstein–Uhlenbeck and other mean-reverting processes

DOI10.1088/1751-8121/ab0836OpenAlexW3102530227WikidataQ128340625 ScholiaQ128340625MaRDI QIDQ5052735

Richard V. Craster, Richard J. Martin, Michael J. Kearney

Publication date: 25 November 2022

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.13010

zbMATH Keywords

Fokker-Planck equationsurvival probabilityfirst passage processes

Mathematics Subject Classification ID

Asymptotic behavior of solutions to PDEs (35B40) Geometric theory, characteristics, transformations in context of PDEs (35A30) Soliton theory, asymptotic behavior of solutions of infinite-dimensional Hamiltonian systems (37K40) Lie-Bäcklund and other transformations for infinite-dimensional Hamiltonian and Lagrangian systems (37K35) Fokker-Planck equations (35Q84)

Related Items (14)

Hazard-selfsimilarity of diffusions’ first passage times ⋮ Extreme value statistics of ergodic Markov processes from first passage times in the large deviation limit ⋮ Exact solutions of the two-side exit time problems for the Vasicek model ⋮ Stochastic entropy production in diffusive systems ⋮ Analytical survival analysis of the Ornstein-Uhlenbeck process ⋮ Approximating the first passage time density from data using generalized Laguerre polynomials ⋮ Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods ⋮ On the first-passage times of certain Gaussian processes, and related asymptotics ⋮ On the first hitting time density for a reducible diffusion process ⋮ Preface: new trends in first-passage methods and applications in the life sciences and engineering ⋮ The moving-eigenvalue method: hitting time for Itô processes and moving boundaries ⋮ Asymptotics for the fastest among N stochastic particles: role of an extended initial distribution and an additional drift component ⋮ Statistics of the first passage area functional for an Ornstein–Uhlenbeck process ⋮ Selfsimilarity of diffusions’ first passage times

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