Abstract
An Ornstein-Uhlenbeck process subject to a quadratic killing rate is analyzed. The distribution for the process killing time is derived, generalizing the analogous result for Brownian motion. The derivation involves the use of Hermite polynomials in a spectral expansion.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
5 articles.
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