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

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  • Ditlevsen, Susanne
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    Abstract

    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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    File URL: http://www.sciencedirect.com/science/article/B6V1D-4NJ7W65-H/2/2d7d2a9ac454711d5c7a37c2a102a21a
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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 77 (2007)
    Issue (Month): 18 (December)
    Pages: 1744-1749

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    Handle: RePEc:eee:stapro:v:77:y:2007:i:18:p:1744-1749

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    Related research

    Keywords: Laplace transform Martingales Eigenfunctions Conditional moments Hermite polynomials;

    References

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    1. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
    2. Olivier Scaillet & Boris Leblanc, 1998. "Path dependent options on yields in the affine term structure model," Finance and Stochastics, Springer, vol. 2(4), pages 349-367.
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    Cited by:
    1. 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.
    2. 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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