In:
Journal of Applied Probability, Cambridge University Press (CUP), Vol. 52, No. 2 ( 2015-06), p. 595-601
Abstract:
In this paper we use the Siegert formula to derive alternative expressions for the moments of the first passage time of the Ornstein-Uhlenbeck process through a constant threshold. The expression for the n th moment is recursively linked to the lower-order moments and consists of only n terms. These compact expressions can substantially facilitate (numerical) applications also for higher-order moments.
Type of Medium:
Online Resource
ISSN:
0021-9002
,
1475-6072
DOI:
10.1239/jap/1437658618
Language:
English
Publisher:
Cambridge University Press (CUP)
Publication Date:
2015
detail.hit.zdb_id:
1474599-9
detail.hit.zdb_id:
219147-7
SSG:
3,2
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