Statistics of the first passage area functional for an Ornstein–Uhlenbeck process
Work
Year: 2020
Type: article
Abstract: We consider the area functional defined by the integral of an Ornstein-Uhlenbeck process which starts from a given value and ends at the time it first reaches zero (its equilibrium level). Exact resul... more
Authors M.J. Kearney, R. J. Martin
Institutions University of Surrey, Imperial College London
Cites: 44
Cited by: 16
Related to: 10
FWCI: 1.033
Citation percentile (by year/subfield): 82.27
Subfield: Statistical and Nonlinear Physics
Field: Physics and Astronomy
Domain: Physical Sciences
Open Access status: hybrid