Marlin U. Thomas
Abstract
This paper describes an accurate method of approximating the mean of the first-passage time distribution for an Ornstein-Uhlenbeck process with a single absorbing barrier. The accuracy of the approximation is demonstrated through some numerical comparisons.
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This paper describes an accurate method of approximating the mean of the first-passage time distribution for an Ornstein-Uhlenbeck process with a single absorbing barrier. The accuracy of the approximation is demonstrated through some numerical comparisons.
Key concepts: Ornstein–Uhlenbeck process, Mathematics, First-hitting-time model, Approximations of π, Statistical physics, Applied mathematics, Stochastic process, Statistics