A result on the first-passage time of an Ornstein-Uhlenbeck process
AbstractConsider 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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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 77 (2007)
Issue (Month): 18 (December)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Wergen, Gregor, 2014. "Modeling record-breaking stock prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 396(C), pages 114-133.
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