A clarification note about hitting times densities for Ornstein-Uhlenbeck processes

被引：22

作者：

Göing-Jaeschke, A

Yor, M

机构：

[1] Baloise Insurance Grp, CH-4002 Basel, Switzerland

[2] ETH, Dept Math, CH-8092 Zurich, Switzerland

[3] Univ Paris 06, Probabil Lab, F-75252 Paris, France

来源：

FINANCE AND STOCHASTICS | 2003年 / 7卷 / 03期

关键词：

hitting time; Ornstein-Uhlenbeck process;

D O I：

10.1007/s007800200092

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this note, we point out that the formula given in the correction note by Leblanc et al. [5] for the distribution of the first hitting time of b by an Ornstein-Uhlenbeck process starting from a is only true in case b = 0.

引用

页码：413 / 415

页数：3

共 8 条

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[8]

YOR M, 1992, LECT MATH

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