collaborators

1 paper

math.PR2022

Boundary crossing problems and functional transformations for Ornstein-Uhlenbeck processes

Aria Ahari, Larbi Alili, Massimiliano Tamborrino

We are interested in the law of the first passage time of an Ornstein-Uhlenbeck process to time-varying thresholds. We show that this problem is connected to the laws of the first…