Computing the first passage time density of a time-dependent Ornstein-Uhlenbeck process to a moving boundary

Edward Chi-Fai Lo, Cho-Hoi Hui. Computing the first passage time density of a time-dependent Ornstein-Uhlenbeck process to a moving boundary. Appl. Math. Lett., 19(12):1399-1405, 2006. [doi]

Abstract

Abstract is missing.