Analytical survival analysis of the Ornstein-Uhlenbeck process

DOI10.1007/s10955-020-02669-yzbMath1466.60161arXiv2006.13197OpenAlexW3097302301MaRDI QIDQ2659355

W. Moon, J. S. Wettlaufer, L. T. Giorgini

Publication date: 26 March 2021

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.13197

zbMATH Keywords

asymptoticsFokker-Planck equationOrnstein-Uhlenbeck processsurvival probability

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Fokker-Planck equations (35Q84)

Related Items (1)

Statistics of the first passage area functional for an Ornstein–Uhlenbeck process

Uses Software

• QRM

Cites Work

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