A clarification note about hitting times densities for Ornstein-Uhlenbeck processes
type: Item
instance of: scholarly article
title: A clarification note about hitting times densities for Ornstein-Uhlenbeck processes
zbMATH Open document ID: 1064.60026
author: Anja Göing-Jaeschke
author: Marc Yor
published in: Finance and Stochastics
publication date: 2005-05-20T00:00:00Z
review text: The authors note that the formula given in the correction note by \textit{B. Leblanc, O. Renault} and \textit{O. Scaillet} [ibid. 4, No. 1, 109--111 (2000; Zbl 0944.60027)] for the distribution of the first hitting time of \(b\) by an Ornstein-Uhlenbeck process starting from \(a\) is true only in the case \(b=0\). A correction to the formula is proposed.
Mathematics Subject Classification ID: 60E10
Mathematics Subject Classification ID: 60G17
Mathematics Subject Classification ID: 60J70
zbMATH DE Number: 2169537
zbMATH Keywords: hitting time
zbMATH Keywords: Ornstein-Uhlenbeck process
reviewed by: M. P. Moklyachuk
MaRDI profile type: Publication
full work available at URL: s007800200092
OpenAlex ID: W2083953899
DOI: 10.1007/S007800200092
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description: scientific article; zbMATH DE number 2169537