A result on the first-passage time of an Ornstein-Uhlenbeck process

被引：12

作者：

Ditlevsen, Susanne ^{[1
]}

机构：

[1] Univ Copenhagen, Dept Biostat, DK-1014 Copenhagen, Denmark

来源：

STATISTICS & PROBABILITY LETTERS | 2007年 / 77卷 / 18期

关键词：

Laplace transform; martingales; eigenfunctions; conditional moments; Hermite polynomials;

D O I：

10.1016/j.spl.2007.04.015

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Consider the first time an Ornstein-Uhlenbeck process starting from zero crosses a constant positive threshold. Assuming that the asymptotic mean is above the threshold, conditions on the asymptotic variance relative to the distance between the threshold and the asymptotic mean are given that ensures the finiteness of the positive Laplace transforms. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：1744 / 1749

页数：6

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