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Ornstein–Uhlenbeck process with quadratic killing

Published online by Cambridge University Press:  14 July 2016

Michael L. Wenocur
Michael L. Wenocur*
Affiliation:
Ford Aerospace Corporation, San Jose, California
*
∗ Postal address: 941 San Marcos Circle, Mountain View, CA 94043, USA.
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Abstract

An Ornstein-Uhlenbeck process subject to a quadratic killing rate is analyzed. The distribution for the process killing time is derived, generalizing the analogous result for Brownian motion. The derivation involves the use of Hermite polynomials in a spectral expansion.

Keywords

SPECTRAL EXPANSIONORTHOGONAL FUNCTIONSHERMITE POLYNOMIALSPARABOLIC CYLINDRICAL FUNCTIONSKILLING TIMESFEYNMAN–KAC FORMULA

Information

Type
Short Communications
Information
Journal of Applied Probability , Volume 27 , Issue 3 , September 1990 , pp. 707 - 712
Copyright
Copyright © Applied Probability Trust 1990 

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Footnotes

This report is based in part on research supported by Air Force of Scientific Research Contract F49620-86-C-0022.

References

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