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Asymptotic distributions for the Ornstein-Uhlenbeck process

Published online by Cambridge University Press:  14 July 2016

John A. Beekman
John A. Beekman*
Affiliation:
Ball State University, Muncie, Indiana
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Abstract

This paper gives the asymptotic distributions, as the time period grows infinite, of the first exit times above a fixed constant and from upper and lower constant boundaries for the Ornstein-Uhlenbeck stochastic process. The results of a large amount of numerical analysis illustrate the asymptotic forms.

Keywords

ORNSTEIN-UHLENBECK PROCESSRANDOM WALKFIRST EXIT TIMES
Type
Research Papers
Information
Journal of Applied Probability , Volume 12 , Issue 1 , March 1975 , pp. 107 - 114
Copyright
Copyright © Applied Probability Trust 1975 

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