A recursion formula for the moments of the first passage time of the Ornstein-Uhlenbeck process
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| Publication date | 2015 |
| Journal | Journal of Applied Probability |
| Volume | Issue number | 52 | 2 |
| Pages (from-to) | 595-601 |
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| 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. |
| Document type | Article |
| Language | English |
| Published at |
https://doi.org/10.1239/jap/1437658618
(Final published version)
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