First-passage probabilities and invariant distributions of Kac-Ornstein-Uhlenbeck processes

N Ratanov - arXiv preprint arXiv:2102.13308, 2021 - arxiv.org
In this paper, we study Ornstein-Uhlenbeck processes with Markov modulation, whose
parameters depend on an external underlying two-state Markov process. Conditional mean …
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First-passage probabilities and invariant distributions of Kac-Ornstein-Uhlenbeck processes

N Ratanov - arXiv e-prints, 2021 - ui.adsabs.harvard.edu
In this paper, we study Ornstein-Uhlenbeck processes with Markov modulation, whose
parameters depend on an external underlying two-state Markov process. Conditional mean …