The asymptotic behaviour of the first-passage-time p.d.f. through a constant boundary for an Ornstein-Uhlenbeck process is investigated for large boundaries. It is shown that an exponential p.d.f. arises, whose mean is the average first-passage time from 0 to the boundary. The proof relies on a new recursive expression of the moments of the first-passage-time p.d.f. The excellent agreement of theoretical and computational results is pointed out. It is also remarked that in many cases the exponential behaviour actually occurs even for small values of time and boundary.

Exponential trends of Ornstein- Uhlenbeck first-passage-time densities

SACERDOTE, Laura Lea
1985

Abstract

The asymptotic behaviour of the first-passage-time p.d.f. through a constant boundary for an Ornstein-Uhlenbeck process is investigated for large boundaries. It is shown that an exponential p.d.f. arises, whose mean is the average first-passage time from 0 to the boundary. The proof relies on a new recursive expression of the moments of the first-passage-time p.d.f. The excellent agreement of theoretical and computational results is pointed out. It is also remarked that in many cases the exponential behaviour actually occurs even for small values of time and boundary.
22
360
369
First Passage Time; Ornstein Uhlenbeck process; moments
NOBILE A.G.; RICCIARDI L.M.; L. SACERDOTE
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2318/110078
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