作者
LM Ricciardi, Laura Sacerdote
发表日期
1987/6
期刊
Journal of Applied Probability
卷号
24
期号
2
页码范围
355-369
出版商
Cambridge University Press
简介
We show that the transition p.d.f. of the Ornstein–Uhlenbeck process with a reflection condition at an assigned state S is related by integral-type equations to the free transition p.d.f., to the transition p.d.f. in the presence of an absorption condition at S, to the first-passage-time p.d.f. to S and to the probability current. Such equations, which are also useful for computational purposes, yield as an immediate consequence all known closed-form results for Wiener and Ornstein–Uhlenbeck processes.
引用总数
学术搜索中的文章
LM Ricciardi, L Sacerdote - Journal of Applied Probability, 1987