AbstractWe consider the two-dimensional process (x(t),y(t)), where y(t)=dx(t)/dt is an Ornstein-Uhlenbeck process, Let T be the smallest t for which y(t) = υ. In this note we obtain an explicit expression, in terms of a parabolic cylinder function, for the moment generating function or the characteristic function of x(T) and we evaluate the expected value of x(T)
International audienceWe consider an Ornstein-Uhlenbeck process with different drift rates below and...
The generalised Ornstein-Uhlenbeck process constructed from a bivariate Lévy process ([xi]t,[eta]t)t...
Abstract. Let Xt be an Ornstein–Uhlenbeck diffusion process in Rn and let B be an open ball in Rn. I...
AbstractWe consider the two-dimensional process (x(t),y(t)), where y(t)=dx(t)/dt is an Ornstein-Uhle...
SUMMARY. Let dx(t)/dt = y2(t) + z2(t), where y(t) and z(t) are independent Ornstein-Uhlenbeck proces...
Three expressions are provided for the first hitting time density of an Ornstein-Uhlenbeck process t...
International audienceWe propose an expression for the joint density / distribution function for the...
For the Ornstein-Uhlenbeck process with a reflecting boundary the moments of the first-passage time ...
A detailed study of the asymptotic behavior of the first-passage-time p.d.f. and its moments is carr...
In this paper we use the Siegert formula to derive alternative expressions for the moments of the fi...
This paper derives transition and first hitting time densities and moments for the Ornstein-Uhlenbec...
For Ornstein-Uhlenbeck process X(t), starting from X(0) = x > 0, we highlight some results about ...
We derive the characteristic function (CF) of integrals of Lévy-driven Ornstein-Uhlenbeck processes ...
Recently, [Veestraeten D. On the inverse transform of Laplace transforms that contain (products of) ...
We show that the transition p.d.f. of the Ornstein-Uhlenbeck process with a reflection condition at ...
International audienceWe consider an Ornstein-Uhlenbeck process with different drift rates below and...
The generalised Ornstein-Uhlenbeck process constructed from a bivariate Lévy process ([xi]t,[eta]t)t...
Abstract. Let Xt be an Ornstein–Uhlenbeck diffusion process in Rn and let B be an open ball in Rn. I...
AbstractWe consider the two-dimensional process (x(t),y(t)), where y(t)=dx(t)/dt is an Ornstein-Uhle...
SUMMARY. Let dx(t)/dt = y2(t) + z2(t), where y(t) and z(t) are independent Ornstein-Uhlenbeck proces...
Three expressions are provided for the first hitting time density of an Ornstein-Uhlenbeck process t...
International audienceWe propose an expression for the joint density / distribution function for the...
For the Ornstein-Uhlenbeck process with a reflecting boundary the moments of the first-passage time ...
A detailed study of the asymptotic behavior of the first-passage-time p.d.f. and its moments is carr...
In this paper we use the Siegert formula to derive alternative expressions for the moments of the fi...
This paper derives transition and first hitting time densities and moments for the Ornstein-Uhlenbec...
For Ornstein-Uhlenbeck process X(t), starting from X(0) = x > 0, we highlight some results about ...
We derive the characteristic function (CF) of integrals of Lévy-driven Ornstein-Uhlenbeck processes ...
Recently, [Veestraeten D. On the inverse transform of Laplace transforms that contain (products of) ...
We show that the transition p.d.f. of the Ornstein-Uhlenbeck process with a reflection condition at ...
International audienceWe consider an Ornstein-Uhlenbeck process with different drift rates below and...
The generalised Ornstein-Uhlenbeck process constructed from a bivariate Lévy process ([xi]t,[eta]t)t...
Abstract. Let Xt be an Ornstein–Uhlenbeck diffusion process in Rn and let B be an open ball in Rn. I...
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