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A note on the moments of the first-passage time of the Ornstein-Uhlenbeck process with a reflecting boundary. (English) Zbl 0954.60067

Summary: For the Ornstein-Uhlenbeck process with a reflecting boundary the moments of the first-passage time through a constant boundary are obtained in a closed form that appears to be particularly suitable for computation purposes. This is achieved via the determination of the Laplace transform of the first-passage time probability density function by a method previously devised by L. M. Ricciardi and S. Sato [J. Appl. Probab. 25, No. 1, 43-57 (1988; Zbl 0651.60080)] for the unrestricted case.

MSC:

60J70 Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
92C20 Neural biology
92D25 Population dynamics (general)

Citations:

Zbl 0651.60080
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