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Mean First Passage Time of an Ornstein-Uhlenbeck Process 1.0

  Date Added: September 15, 2013  |  Visits: 309

Mean First Passage Time of an Ornstein-Uhlenbeck Process

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This code determines the mean first passage time (MFPT) of an Ornstein-Uhlenbeck process from analytical solutions obtained from M.U. Thomas (1975), S. Sato (1977), and S. Sato & M. Ricciardi (1988) (all articles published in J. Appl. Prob.).Note that this code yields a dimensionless MFPT (i.e. MFPT multiplied by the reciprocal of the relaxation time) and only applies to cases where either the initial position or absorbing barrier is zero.

Requirements: No special requirements
Platforms: Matlab
Keyword: Absorbing Analytical Applies Barrier Cases Dimensionless Initial Multiplied Ornsteinuhlenbeck Passage Position Probnote Process Reciprocal Relaxation Solutions Yields
Users rating: 0/10

License: Freeware Size: 10 KB
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