Some mean first-passage time approximations for the Ornstein-Uhlenbeck process
- 1 September 1975
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 12 (3) , 600-604
- https://doi.org/10.2307/3212877
Abstract
This paper describes an accurate method of approximating the mean of the first-passage time distribution for an Ornstein-Uhlenbeck process with a single absorbing barrier. The accuracy of the approximation is demonstrated through some numerical comparisons.Keywords
This publication has 3 references indexed in Scilit:
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- The First Passage Problem for a Continuous Markov ProcessThe Annals of Mathematical Statistics, 1953