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Joint law of an Ornstein–Uhlenbeck process and its supremum - MaRDI portal

Joint law of an Ornstein–Uhlenbeck process and its supremum (Q3299450)

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scientific article
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English
Joint law of an Ornstein–Uhlenbeck process and its supremum
scientific article

    Statements

    title
    Joint law of an Ornstein–Uhlenbeck process and its supremum (English)
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    author
    Diana Dorobantu
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    Laura Gay
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    publication date
    22 July 2020
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    zbMATH Keywords
    Ornstein-Uhlenbeck process
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    joint law
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    supremum
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    endpoint
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    Fokker-Planck equation
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    Identifiers

    DOI
    10.1017/jpr.2020.22
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    zbMATH DE Number
    7224245
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    OpenAlex ID
    W3009696447
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