The one-sided barrier problem for an integrated ornstein-uhlenbeck process
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Publication:3983737
DOI10.1080/15326349108807200zbMath0736.60074OpenAlexW2009219199MaRDI QIDQ3983737
Publication date: 27 June 1992
Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326349108807200
Ornstein-Uhlenbeck processperturbation methodslocal martingalefirst-passage problemparticle sedimentation in fluids
Brownian motion (60J65) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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