2006•Applied Mathematics LettersOpen access

Computing the first passage time density of a time-dependent Ornstein–Uhlenbeck process to a moving boundary

Chi‐Fai Lo, Cho‐Hoi Hui

Open full text 25 citations

Abstract

This record does not include an abstract. Use the full-text link above if available.

About this research paper

What this paper is about

An abstract is not available in the OpenAlex record for this paper.

Why it matters

OpenAlex reports 25 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Key concepts: Ornstein–Uhlenbeck process, First-hitting-time model, Mathematics, Process (computing), Boundary (topology), Statistical physics, Stochastic process, Mathematical analysis

Back to paper search Browse research topics Original source

Computing the first passage time density of a time-dependent Ornstein–Uhlenbeck process to a moving boundary — Research Paper | ScholarLens