MEAN VARIANCE AND SKEWNESS OF THE FIRST PASSAGE TIME FOR THE ORNSTEIN-UHLENBECK PROCESS
- 1 January 1981
- journal article
- research article
- Published by Informa UK Limited in Cybernetics and Systems
- Vol. 12 (4), 395-429
- https://doi.org/10.1080/01969728108927683
Abstract
Mean, variance, and skewness of the first passage time distribution for a normalized Ornstein-Uhlenbeck process and for time-independent thresholds are obtained for a set of preassigned initial values. This is done to complement the statistical tables by Keilson and Ross (1971) and in order to allow for ranges of the parameters of neurobiological interest.Keywords
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