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Moment generating function of a first hitting place for the integrated Ornstein-Uhlenbeck process

  • Published:1989-08 Issue:2 Volume:32 Page:281-287
  • ISSN:0304-4149
  • Container-title:Stochastic Processes and their Applications
  • language:en
  • Short-container-title:Stochastic Processes and their Applications

Author:

Lefebvre Mario

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference11 articles.

1. Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables;Abramowitz,1965

2. First passage probabilities of a two dimensional Brownian motion in an anisotropic medium;Buckholtz;Sankhyā Ser,1979

3. The Theory of Stochastic Processes;Cox,1965

4. On the first passage of the integrated Wiener process;Goldman;Ann. Math. Statist.,1971

5. A formula for the solution of a certain boundary value problem for the stationary equation of Brownian motion;Gor'kov;Dokl. Akad. Nauk SSSR,1975

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