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Asymptotic behaviour of ornstein‐uhlenbeck first‐passage‐time density through periodic boundaries

Asymptotic behaviour of ornstein‐uhlenbeck first‐passage‐time density through periodic boundaries Use of the integral equation proposed by Buonocore et al.1 is made to obtain the asymptotic form of the first‐passage‐time p.d.f. for a normalized Ornstein‐Uhlenbeck process through a periodic boundary. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Stochastic Models and Data Analysis Wiley

Asymptotic behaviour of ornstein‐uhlenbeck first‐passage‐time density through periodic boundaries

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References (22)

Publisher
Wiley
Copyright
Copyright © 1990 Wiley Subscription Services, Inc., A Wiley Company
ISSN
8755-0024
eISSN
1099-0747
DOI
10.1002/asm.3150060106
Publisher site
See Article on Publisher Site

Abstract

Use of the integral equation proposed by Buonocore et al.1 is made to obtain the asymptotic form of the first‐passage‐time p.d.f. for a normalized Ornstein‐Uhlenbeck process through a periodic boundary.

Journal

Applied Stochastic Models and Data AnalysisWiley

Published: Mar 1, 1990

Keywords: ; ;

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