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Asymptotic distributions for the Ornstein-Uhlenbeck process
John A. Beekman
Journal:

Journal of Applied Probability / Volume 12 / Issue 1 / March 1975

Published online by Cambridge University Press:

14 July 2016, pp. 107-114

Print publication:

March 1975
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This paper gives the asymptotic distributions, as the time period grows infinite, of the first exit times above a fixed constant and from upper and lower constant boundaries for the Ornstein-Uhlenbeck stochastic process. The results of a large amount of numerical analysis illustrate the asymptotic forms.

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Asymptotic distributions for the Ornstein-Uhlenbeck process