Imperial College London
Alternate

ProfessorRichardCraster

Faculty of Natural Sciences

Dean of the Faculty of Natural Sciences
 
 
 
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Contact

 

+44 (0)20 7594 8554r.craster Website

 
 
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Assistant

 

Miss Hannah Cline +44 (0)20 7594 1934

 
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Location

 

3.05Faculty BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Martin:2019:1751-8121/ab0836,
author = {Martin, RJ and Kearney, MJ and Craster, R},
doi = {1751-8121/ab0836},
journal = {Journal of Physics A: Mathematical and Theoretical},
title = {Long- and short-time asymptotics of the first-passage time of the Ornstein-Uhlenbeck and other mean-reverting processes},
url = {http://dx.doi.org/10.1088/1751-8121/ab0836},
volume = {52},
year = {2019}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - 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.
AU  - Martin,RJ
AU  - Kearney,MJ
AU  - Craster,R
DO  - 1751-8121/ab0836
PY  - 2019///
SN  - 1751-8113
TI  - Long- and short-time asymptotics of the first-passage time of the Ornstein-Uhlenbeck and other mean-reverting processes
T2  - Journal of Physics A: Mathematical and Theoretical
UR  - http://dx.doi.org/10.1088/1751-8121/ab0836
UR  - http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000460778900001&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
UR  - http://hdl.handle.net/10044/1/68575
VL  - 52
ER  -
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