First-passage probabilities and invariant distributions of Kac-Ornstein-Uhlenbeck processes
Probability
2021-03-11 v2
Abstract
In this paper, we study Ornstein-Uhlenbeck processes with Markov modulation, whose parameters depend on an external underlying two-state Markov process. Conditional mean and variance of such processes under given modulation are investigated from the point of view of the first passage probabilities and invariant measures. It is also studied the limiting behaviour under scaling conditions similar to Kac's scaling.
Keywords
Cite
@article{arxiv.2102.13308,
title = {First-passage probabilities and invariant distributions of Kac-Ornstein-Uhlenbeck processes},
author = {Nikita Ratanov},
journal= {arXiv preprint arXiv:2102.13308},
year = {2021}
}
Comments
19 pages