Asymptotic behaviour of ornstein‐uhlenbeck first‐passage‐time density through periodic boundaries

DOI10.1002/ASM.3150060106zbMath0800.60033OpenAlexW1964608208MaRDI QIDQ4299570

Laura Sacerdote

Publication date: 4 July 1994

Published in: Applied Stochastic Models and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asm.3150060106

zbMATH Keywords

Ornstein-Uhlenbeck processperiodic boundariesasymptotic first-passage-time density

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items (2)

Stochastic Integrate and Fire Models: A Review on Mathematical Methods and Their Applications ⋮ Development, Simulation, and Application of First-Exit-Time Densities to Life Table Data

Cites Work

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• Probabilities of Wiener paths crossing differentiable curves
• A tandem random walk model for psychological discrimination
• An asymptotic expansion for one-sided Brownian exit densities

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