论文信息 - An absorption probability for the Ornstein-Uhlenbeck process

An absorption probability for the Ornstein-Uhlenbeck process

An asymptotic expression for an absorption probability for the Ornstein-Uhlenbeck process is presented along with an application of the result to a problem in optional stopping. The relation of this result to the asymptotic behavior of a weighted Kolmogorov-Smirnov statistic is also discussed. Sweet and Hardin (1970) derive an exact solution (not in closed form) for this same problem.

J. Dirkse

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