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Ornstein–Uhlenbeck process with quadratic killing
Published online by Cambridge University Press: 14 July 2016
Abstract
An Ornstein-Uhlenbeck process subject to a quadratic killing rate is analyzed. The distribution for the process killing time is derived, generalizing the analogous result for Brownian motion. The derivation involves the use of Hermite polynomials in a spectral expansion.
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- Copyright © Applied Probability Trust 1990
Footnotes
This report is based in part on research supported by Air Force of Scientific Research Contract F49620-86-C-0022.
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