A result on the first-passage time of an Ornstein-Uhlenbeck process
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- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005.
"A Theory Of The Term Structure Of Interest Rates,"
World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164,
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- Wang, Huiqing & Yin, Chuancun, 2008. "Moments of the first passage time of one-dimensional diffusion with two-sided barriers," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3373-3380, December.
- Wergen, Gregor, 2014. "Modeling record-breaking stock prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 396(C), pages 114-133.
- Huang, Lu-Jing & Kim, Kyung-Youn & Mao, Yong-Hua & Wang, Tao, 2022. "Variational formulas for the exit time of Hunt processes generated by semi-Dirichlet forms," Stochastic Processes and their Applications, Elsevier, vol. 148(C), pages 380-399.
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Keywords
Laplace transform Martingales Eigenfunctions Conditional moments Hermite polynomials;Statistics
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