A recursion formula for the moments of the first-passage time of the Ornstein-Uhlenbeck process
| Authors |
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| Publication date |
2013
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| Number of pages |
11
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| Publisher |
Amsterdam: University of Amsterdam
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| Organisations |
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Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
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| Abstract |
This note uses 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 |
Working paper
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| Note |
March 20, 2014
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| Language |
English
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