Representations of the first hitting time density of an ornstein-uhlenbeck process 1

Stochastic Models

Volumn 21, Issue 4, 2005, Pages 967-980

  Alili, L ^a   Patie, P ^b   Pedersen, J L ^c  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b ETH ZURICH   (Switzerland)

^c UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Bessel bridge; Fourier transform; Hitting time density; Laplace transform; Ornstein Uhlenbeck process

Indexed keywords

APPROXIMATION THEORY; EIGENVALUES AND EIGENFUNCTIONS; FOURIER TRANSFORMS; INTEGRAL EQUATIONS; LAPLACE TRANSFORMS; PROBABILITY DENSITY FUNCTION;

BESSEL BRIDGE; HITTING TIME DENSITY; ORNSTEIN-UHLENBECK PROCESS;

MATHEMATICAL MODELS;

EID: 33644971385     PISSN: 15326349     EISSN: 15324214     Source Type: Journal    
DOI: 10.1080/15326340500294702     Document Type: Article

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