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June 2015 A recursion formula for the moments of the first passage time of the Ornstein-Uhlenbeck process
Dirk Veestraeten
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J. Appl. Probab. 52(2): 595-601 (June 2015). DOI: 10.1239/jap/1437658618

Abstract

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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Dirk Veestraeten. "A recursion formula for the moments of the first passage time of the Ornstein-Uhlenbeck process." J. Appl. Probab. 52 (2) 595 - 601, June 2015. https://doi.org/10.1239/jap/1437658618

Information

Published: June 2015
First available in Project Euclid: 23 July 2015

zbMATH: 1323.60108
MathSciNet: MR3372095
Digital Object Identifier: 10.1239/jap/1437658618

Subjects:
Primary: 60J60
Secondary: 60K30

Rights: Copyright © 2015 Applied Probability Trust

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Vol.52 • No. 2 • June 2015
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