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Some mean first-passage time approximations for the Ornstein-Uhlenbeck process

Published online by Cambridge University Press:  14 July 2016

Marlin U. Thomas
Marlin U. Thomas*
Affiliation:
Naval Postgraduate School, Monterey, California
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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

ORNSTEIN-UHLENBECK PROCESSDIFFUSION APPROXIMATIONSFIRST-PASSAGE TIMES

Information

Type
Short Communications
Information
Journal of Applied Probability , Volume 12 , Issue 3 , September 1975 , pp. 600 - 604
Copyright
Copyright © Applied Probability Trust 1975 

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References

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