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A clarification note about hitting times densities for Ornstein-Uhlenbeck processes

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Abstract.

In this note, we point out that the formula given in the correction note by Leblanc et al. [5] for the distribution of the first hitting time of b by an Ornstein–Uhlenbeck process starting from a is only true in case b=0.

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Authors and Affiliations

  1. Baloise Insurance Group, Aeschengraben 21, 4002 Basel, Switzerland (e-mail: anja.goeing-jaeschke@basler.ch); Formerly: ETH Zurich, Department of Mathematics, 8092 Zurich , , , , , , CH

    Anja Göing-Jaeschke

  2. Université Pierre et Marie Curie, Laboratoire de Probabilités, 4 Place Jussieu, 75252 Paris Cedex 05, France , , , , , , FR

    Marc Yor

Authors
  1. Anja Göing-Jaeschke
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  2. Marc Yor
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Additional information

Manuscript received: March 2002; final version received: July 2002

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ID="*" The author gratefully acknowledges support from RiskLab, Switzerland[-3mm]

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Göing-Jaeschke, A., Yor, M. A clarification note about hitting times densities for Ornstein-Uhlenbeck processes. Finance Stochast 7, 413–415 (2003). https://doi.org/10.1007/s007800200092

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  • DOI: https://doi.org/10.1007/s007800200092

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