On the Distribution of the Integrated Square of the Ornstien–Uhlenbeck Process

DOI10.1137/0151029zbMath0721.60043OpenAlexW2154841817MaRDI QIDQ5753291

Thad jun. Dankel

Publication date: 1991

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0151029

zbMATH Keywords

Laplace transformsOrnstein-Uhlenbeck processinverse Gaussian distributionfunctional integral methods

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10) Continuous-time Markov processes on general state spaces (60J25) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

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