An absorption probability for the Ornstein-Uhlenbeck process
- 1 September 1975
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 12 (3) , 595-599
- https://doi.org/10.2307/3212876
Abstract
An asymptotic expression for an absorption probability for the Ornstein-Uhlenbeck process is presented along with an application of the result to a problem in optional stopping. The relation of this result to the asymptotic behavior of a weighted Kolmogorov-Smirnov statistic is also discussed. Sweet and Hardin (1970) derive an exact solution (not in closed form) for this same problem.Keywords
This publication has 5 references indexed in Scilit:
- Solutions for some diffusion processes with two barriersJournal of Applied Probability, 1970
- The First Passage Problem for a Continuous Markov ProcessThe Annals of Mathematical Statistics, 1953
- Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic ProcessesThe Annals of Mathematical Statistics, 1952
- Some aspects of the sequential design of experimentsBulletin of the American Mathematical Society, 1952
- Recurrence times for the Ehrenfest modelPacific Journal of Mathematics, 1951