Mean First Passage Time of an Ornstein-Uhlenbeck Process 1.0

Date Added: September 15, 2013 | Visits: 613

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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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