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An absorption probability for the Ornstein-Uhlenbeck process

Published online by Cambridge University Press:  14 July 2016

John P. Dirkse
John P. Dirkse*
Affiliation:
George Washington University
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Abstract

An asymptotic expression for an absorption probability for the Ornstein-Uhlenbeck process is presented along with an application of the result to a problem in optional stopping. The relation of this result to the asymptotic behavior of a weighted Kolmogorov-Smirnov statistic is also discussed. Sweet and Hardin (1970) derive an exact solution (not in closed form) for this same problem.

Keywords

ASYMPTOTICORNSTEIN-UHLENBECK PROCESSOPTIONAL STOPPINGKOLMOGOROV-SMIRNOV STATISTICLAPLACE TRANSFORM

Information

Type
Short Communications
Information
Journal of Applied Probability , Volume 12 , Issue 3 , September 1975, pp. 595 - 599
Copyright
Copyright © Applied Probability Trust 1975 

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