A Recursion Formula for the Moments of the First Passage Time of the Ornstein-Uhlenbeck Process
2015 ◽
Vol 52
(2)
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pp. 595-601
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Keyword(s):
In this paper we use the Siegert formula to derive alternative expressions for the moments of the first passage time of the Ornstein-Uhlenbeck process through a constant threshold. The expression for the nth moment is recursively linked to the lower-order moments and consists of only n terms. These compact expressions can substantially facilitate (numerical) applications also for higher-order moments.
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2016 ◽
Vol 91
◽
pp. 214-220
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Keyword(s):
1985 ◽
Vol 22
(02)
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pp. 360-369
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2011 ◽
Vol 48
(02)
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pp. 420-434
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Keyword(s):
Keyword(s):
2006 ◽
Vol 19
(12)
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pp. 1399-1405
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Keyword(s):
1977 ◽
Vol 14
(04)
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pp. 850-856
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