The first-passage area of Ornstein-Uhlenbeck process revisited

DOI10.1080/07362994.2021.2018335MaRDI QIDQ5880401zbMATH OpenOpenAlexFDO

Authors Mario Abundo

Publication date 9 March 2023

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2021.2018335

zbMATH Keywords

first-passage areafirst-passage timeOrnstein-Uhlenbeck process

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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Cites work

• An inverse first-passage problem for one-dimensional diffusions with random starting point
• Exponential trends of Ornstein–Uhlenbeck first-passage-time densities
• Fractionally integrated Gauss-Markov processes and applications
• scientific article; zbMATH DE number 3814037 (Why is no real title available?)
• scientific article; zbMATH DE number 1369679 (Why is no real title available?)
• Integrated stationary Ornstein-Uhlenbeck process, and double integral processes
• On correlations between certain random variables associated with first passage Brownian motion
• On the First Passage Time Probability Problem
• On the first-passage area of a one-dimensional jump-diffusion process
• On the joint distribution of first-passage time and first-passage area of drifted Brownian motion
• Some mean first-passage time approximations for the Ornstein-Uhlenbeck process
• Statistics of the first passage area functional for an Ornstein–Uhlenbeck process
• The First Passage Problem for a Continuous Markov Process

Cited in

(10)

• A result on the first-passage time of an Ornstein-Uhlenbeck process
• A first passage time distribution for a discrete version of the Ornstein–Uhlenbeck process
• First-passage Brownian functionals with stochastic resetting
• Statistics of the first passage area functional for an Ornstein–Uhlenbeck process
• First-passage functionals for Ornstein–Uhlenbeck process with stochastic resetting
• The first-passage area of Wiener process with stochastic resetting
• First-passage time distribution of a Brownian motion: two unexpected journeys
• Study of direct and inverse first-exit problems for drifted Brownian motion with Poissonian resetting
• Inverse first-passage problems of a diffusion with resetting
• Short-time large deviations of first-passage functionals for high-order stochastic processes

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