Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Modeling and Simulation,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/15326340500294702
Reference22 articles.
1. The Fourier-series method for inverting transforms of probability distributions
2. Handbook of Brownian Motion - Facts and Formulae
3. Approximations of boundary crossing probabilities for a Brownian motion
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