Long- and short-time asymptotics of the first-passage time of the Ornstein-Uhlenbeck and other mean-reverting processes

The first-passage problem of the Ornstein-Uhlenbeck process to a boundary is a long-standing problem with no known closed-form solution except in specific cases. Taking this as a starting-point, and extending to a general mean-reverting process, we investigate the long- and short-time asymptotics using a combination of Hopf-Cole and Laplace transform techniques. As a result we are able to give a single formula that is correct in both limits, as well as being exact in certain special cases. We demonstrate the results using a variety of other models

Analytical approximation to the multidimensional Fokker--Planck equation with steady state

The Fokker--Planck equation is a key ingredient of many models in physics, and related subjects, and arises in a diverse array of settings. Analytical solutions are limited to special cases, and resorting to numerical simulation is often the only route available; in high dimensions, or for parametric studies, this can become unwieldy. Using asymptotic techniques, that draw upon the known Ornstein--Uhlenbeck (OU) case, we consider a mean-reverting system and obtain its representation as a product of terms, representing short-term, long-term, and medium-term behaviour. A further reduction yields a simple explicit formula, both intuitive in terms of its physical origin and fast to evaluate. We illustrate a breadth of cases, some of which are `far' from the OU model, such as double-well potentials, and even then, perhaps surprisingly, the approximation still gives very good results when compared with numerical simulations. Both one- and two-dimensional examples are considered.Comment: Updated version as publishe