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A result on the first-passage time of an Ornstein-Uhlenbeck process

Author
DITLEVSEN, Susanne1
[1] Department of Biostatistics, University of Copenhagen, Øster Farimagsgade 5, entr. B, P. 0. Box 2099, 1014 Kbh, Denmark
Source

Statistics & probability letters. 2007, Vol 77, Num 18, pp 1744-1749, 6 p ; ref : 1/2 ep

CODEN
SPLTDC
ISSN
0167-7152
Scientific domain
Mathematics
Publisher
Elsevier, Amsterdam
Publication country
Netherlands
Document type
Article
Language
English
Author keyword
Conditional moments Eigenfunctions Hermite polynomials Laplace transform Martingales
Keyword (fr)
Estimation moyenne Fonction propre Martingale Moment conditionnel Méthode statistique Polynôme Hermite Processus Ornstein Uhlenbeck Temps premier passage Théorie probabilité Transformation Laplace 60G48 Variance asymptotique
Keyword (en)
Mean estimation Eigenfunction Martingale Conditional moment Statistical method Hermite polynomial Ornstein Uhlenbeck process First passage time Probability theory Laplace transformation Asymptotic variance
Keyword (es)
Estimación promedio Función propia Martingale Momento condicional Método estadístico Polinomio Hermite Proceso Ornstein Uhlenbeck Tiempo primer paso Teoría probabilidad Transformación Laplace
Classification
Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01A General topics

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01H Stochastic processes

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02A General topics

Discipline
Mathematics
Origin
Inist-CNRS
Database
PASCAL
INIST identifier
19282175

Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS

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