Author:
Ricciardi L. M.,Sacerdote L.
Abstract
We show that the transition p.d.f. of the Ornstein–Uhlenbeck process with a reflection condition at an assigned state S is related by integral-type equations to the free transition p.d.f., to the transition p.d.f. in the presence of an absorption condition at S, to the first-passage-time p.d.f. to S and to the probability current. Such equations, which are also useful for computational purposes, yield as an immediate consequence all known closed-form results for Wiener and Ornstein–Uhlenbeck processes.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
39 articles.
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