An absorption probability for the Ornstein-Uhlenbeck process-Reference-Cited by-同舟云学术

An absorption probability for the Ornstein-Uhlenbeck process

Published:1975-09 Issue:3 Volume:12 Page:595-599
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Dirkse John P.

Abstract

An asymptotic expression for an absorption probability for the Ornstein-Uhlenbeck process is presented along with an application of the result to a problem in optional stopping. The relation of this result to the asymptotic behavior of a weighted Kolmogorov-Smirnov statistic is also discussed. Sweet and Hardin (1970) derive an exact solution (not in closed form) for this same problem.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference9 articles.

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2. The First Passage Problem for a Continuous Markov Process

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4. Solutions for some diffusion processes with two barriers

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