Exit Times and Poisson Kernels of the Ornstein–Uhlenbeck Diffusion

DOI10.1080/15326340802009337zbMath1148.60058OpenAlexW2077356123MaRDI QIDQ3514277

Piotr Graczyk, Tomasz Jakubowski

Publication date: 21 July 2008

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340802009337

zbMATH Keywords

Ornstein-Uhlenbeck processPoisson kernelexit time

Mathematics Subject Classification ID

Gaussian processes (60G15) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic potential theory (60J45)

Related Items (6)

The estimates of the mean first exit time from a ball for the \(\alpha \)-stable Ornstein-Uhlenbeck processes ⋮ The Morris-Lecar neuron model embeds a leaky integrate-and-fire model ⋮ Stable semigroups on homogeneous trees and hyperbolic spaces ⋮ Mean first exit times of Ornstein–Uhlenbeck processes in high-dimensional spaces ⋮ Ornstein-Uhlenbeck Pinball and the Poincaré Inequality in a Punctured Domain ⋮ Mixed-mode oscillations in a stochastic, piecewise-linear system

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