First hitting place distributions for the Ornstein-Uhlenbeck process

DOI10.1016/S0167-7152(96)00195-2zbMath0904.60063MaRDI QIDQ1380663

Mario Lefebvre

Publication date: 13 July 1998

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Brownian motionparabolic cylinder function

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (2)

First-passage problems for diffusion processes with state-dependent jumps ⋮ Moments of first-passage places for jump-diffusion processes

Cites Work

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