Moment generating function of a first hitting place for the integrated Ornstein-Uhlenbeck process

DOI10.1016/0304-4149(89)90080-XzbMath0676.60062OpenAlexW2072883368MaRDI QIDQ1122869

Mario Lefebvre

Publication date: 1989

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(89)90080-x

zbMATH Keywords

characteristic functionOrnstein-Uhlenbeck processmoment generating function

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (11)

First-passage problems for diffusion processes with state-dependent jumps ⋮ Explicit solution for a vector-valued LQG homing problem ⋮ Exact solution to a first-passage problem for an Ornstein-Uhlenbeck process with jumps and its integral ⋮ Small noise asymptotics and first passage times of integrated Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy processes ⋮ First-passage problems for degenerate two-dimensional diffusion processes ⋮ Random acceleration process on finite intervals under stochastic restarting ⋮ Mean First-Passage Time to Zero for Wear Processes ⋮ Moments of first-passage places for jump-diffusion processes ⋮ Using a geometric Brownian motion to control a Brownian motion and vice versa ⋮ First-Passage Distributions of Bidimensional Processes ⋮ Statistics of the first passage area functional for an Ornstein–Uhlenbeck process

Cites Work

• Hitting spheres with Brownian motion
• A winding problem for a resonator driven by a white noise
• Hitting Lines with Two-Dimensional Brownian Motion
• First-Passage Densities of a Two-Dimensional Process
• On the First Passage of the Integrated Wiener Process
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Moment generating function of a first hitting place for the integrated Ornstein-Uhlenbeck process