On the integral of the sum of squared Ornstein-Uhlenbeck processes

zbMATH Open0982.60086MaRDI QIDQ2736835

Mario Lefebvre

Publication date: 11 September 2001

Published in: Sankhyā. Series A. Methods and Techniques (Search for Journal in Brave)

zbMATH Keywords

integrated processfirst passagemultidimensional processessquared Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

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

Related Items (2)

Smoothing effect and derivative formulas for Ornstein-Uhlenbeck processes driven by subordinated cylindrical Brownian noises ⋮ On integration by parts formula and characterization of fractional Ornstein-Uhlenbeck process

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