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Mean First Passage Time of an Ornstein-Uhlenbeck Process

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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.

Free download from Shareware Connection - This code determines the mean first passage time (MFPT) of an Ornstein-Uhlenbeck process from analytical solutions obtained from M.U

Publisher: Daniel Charlebois | License: Freeware | Price: 0.00
Version: 1.0 | Size: 10 KB | Platform: Matlab, Scripts
Released Date: 24-06-2013 | Rating: 0 | Title: Mean First Passage Time of an Ornstein-Uhlenbeck Process

Author Url: http://www.mathworks.com
Program Info Url: http://www.mathworks.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/30015/1/MFPT_OU.zip

More downloads from Mean First Passage Time of an Ornstein-Uhlenbeck Process publisher Daniel Charlebois:

Exact Numerical Simulation of the Ornstein-Uhlenbeck Process - This code implements and plots the exact numerical solution of the Ornstein-Uhlenbeck process and its time integral

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