A Recursion Formula for the Moments of the First Passage Time of the Ornstein-Uhlenbeck Process
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Publication:2949857
DOI10.1239/jap/1437658618zbMath1323.60108OpenAlexW1504586453MaRDI QIDQ2949857
Publication date: 2 October 2015
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1437658618
Related Items (2)
Long- and short-time asymptotics of the first-passage time of the Ornstein–Uhlenbeck and other mean-reverting processes ⋮ The Jacobi diffusion process as a neuronal model
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