Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1710612 | Applied Mathematics Letters | 2006 | 7 Pages |
Abstract
In this paper we use the method of images to derive the closed-form formula for the first passage time density of a time-dependent Ornstein–Uhlenbeck process to a parametric class of moving boundaries. The results are then applied to develop a simple, efficient and systematic approximation scheme to compute tight upper and lower bounds of the first passage time density through a fixed boundary.
Related Topics
Physical Sciences and Engineering
Engineering
Computational Mechanics
Authors
C.F. Lo, C.H. Hui,