First passage time density of an Ornstein–Uhlenbeck process with broken drift

DOI10.1080/15326349.2022.2026790zbMath1491.60137OpenAlexW3136790415MaRDI QIDQ5071667

Laura Gay, Christophette Blanchet-Scalliet, Diana Dorobantu, Stefan Ankirchner

Publication date: 22 April 2022

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

Full work available at URL: https://doi.org/10.1080/15326349.2022.2026790

zbMATH Keywords

Laplace transformFokker-Planck equationOrnstein-Uhlenbeck processfirst passage time densityjoint law of the running supremum and endpointpiecewise-linear drift

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (1)

Multilayer heat equations and their solutions via oscillating integral transforms

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