Article ID Journal Published Year Pages File Type
1154688 Statistics & Probability Letters 2007 6 Pages PDF
Abstract

Consider the first time an Ornstein–Uhlenbeck process starting from zero crosses a constant positive threshold. Assuming that the asymptotic mean is above the threshold, conditions on the asymptotic variance relative to the distance between the threshold and the asymptotic mean are given that ensures the finiteness of the positive Laplace transforms.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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