A recursion formula for the moments of the first passage time of the Ornstein-Uhlenbeck process
| Authors |
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| Publication date |
2015
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| Journal |
Journal of Applied Probability
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| Volume | Issue number |
52 | 2
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| Pages (from-to) |
595-601
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| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
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| Abstract |
In this paper we use the Siegert formula to derive alternative expressions for the moments of the first passage time of the Ornstein-Uhlenbeck process through a constant threshold. The expression for the nth moment is recursively linked to the lower-order moments and consists of only n terms. These compact expressions can substantially facilitate (numerical) applications also for higher-order moments.
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| Document type |
Article
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| Language |
English
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| Published at |
https://doi.org/10.1239/jap/1437658618
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