A result on the first-passage time of an Ornstein-Uhlenbeck process

Consider the first time an Ornstein-Uhlenbeck process starting from zero crosses a constant positive threshold. Assuming that the asymptotic mean is above the threshold, conditions on the asymptotic variance relative to the distance between the threshold and the asymptotic mean are given that ensures the finiteness of the positive Laplace transforms.

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Year of publication:	2007
Authors:	Ditlevsen, Susanne
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 77.2007, 18, p. 1744-1749
Publisher:	Elsevier
Keywords:	Laplace transform Martingales Eigenfunctions Conditional moments Hermite polynomials

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138234