Asymptotic distributions for the Ornstein-Uhlenbeck process
- 1 March 1975
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 12 (1) , 107-114
- https://doi.org/10.2307/3212412
Abstract
This paper gives the asymptotic distributions, as the time period grows infinite, of the first exit times above a fixed constant and from upper and lower constant boundaries for the Ornstein-Uhlenbeck stochastic process. The results of a large amount of numerical analysis illustrate the asymptotic forms.Keywords
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