Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154688 | Statistics & Probability Letters | 2007 | 6 Pages |
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
Authors
Susanne Ditlevsen,