First Hitting Place Probabilities for a Discrete Version of the Ornstein-Uhlenbeck Process
A Markov chain with state space {0,…,N} and transition probabilities depending on the current state is studied. The chain can be considered as a discrete Ornstein-Uhlenbeck process. The probability that the process hits N before 0 is computed explicitly. Similarly, the probability that the process h...
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| Principais autores: | , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Wiley
2009-01-01
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| coleção: | International Journal of Mathematics and Mathematical Sciences |
| Acesso em linha: | http://dx.doi.org/10.1155/2009/909835 |
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