Long- and short-time asymptotics of the first-passage time of the Ornstein-Uhlenbeck and other mean-reverting processes
File(s)1810.13010v1.pdf (425.21 KB)
Accepted version
Author(s)
Martin, RJ
Kearney, MJ
Craster, R
Type
Journal Article
Abstract
The first-passage problem of the Ornstein–Uhlenbeck process to a boundary is a long-standing problem with no known closed-form solution except in specific cases. Taking this as a starting-point, and extending to a general mean-reverting process, we investigate the long- and short-time asymptotics using a combination of Hopf–Cole and Laplace transform techniques. As a result we are able to give a single formula that is correct in both limits, as well as being exact in certain special cases. We demonstrate the results using a variety of other models.
Date Issued
2019-03-29
Date Acceptance
2019-02-15
Citation
Journal of Physics A: Mathematical and Theoretical, 2019, 52 (13)
ISSN
1751-8113
Publisher
IOP Publishing
Journal / Book Title
Journal of Physics A: Mathematical and Theoretical
Volume
52
Issue
13
Copyright Statement
© 2019 IOP Publishing Ltd. This is an author-created, un-copyedited version of an article accepted for publication in [insert name of journal]. IOP Publishing Ltd is not responsible for any errors or omissions in this version of the manuscript or any version derived from it. The definitive publisher authenticated version is available online at https://iopscience.iop.org/article/10.1088/1751-8121/ab0836/
Identifier
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000460778900001&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
Subjects
Science & Technology
Physical Sciences
Physics, Multidisciplinary
Physics, Mathematical
Physics
Fokker-Planck equation
survival probability
first passage processes
1ST PASSAGE TIME
INTEGRAL-REPRESENTATION
PRODUCT
MOMENTS
Publication Status
Published
Article Number
ARTN 134001
Date Publish Online
2019-03-07