Anmerkungen:
In: Applied Mathematics Letters, Vol. 19, pp. 1399-1405, 2006
Beschreibung:
In this paper we use the method of images to derive the closed-form formula for the first passage time density of a timed-dependent Ornstein-Uhlenbeck process to a parametric class of moving boundaries. The results are then applied to develop a simple, efficient and systematic approximation scheme to compute tight upper and lower bounds of the first passage time density through a fixed boundary