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


  • Ditlevsen, Susanne


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.

Suggested Citation

  • Ditlevsen, Susanne, 2007. "A result on the first-passage time of an Ornstein-Uhlenbeck process," Statistics & Probability Letters, Elsevier, vol. 77(18), pages 1744-1749, December.
  • Handle: RePEc:eee:stapro:v:77:y:2007:i:18:p:1744-1749

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    References listed on IDEAS

    1. 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: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
    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. Wergen, Gregor, 2014. "Modeling record-breaking stock prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 396(C), pages 114-133.
    2. 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.


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