Abstract.
In this note, we point out that the formula given in the correction note by Leblanc et al. [5] for the distribution of the first hitting time of b by an Ornstein–Uhlenbeck process starting from a is only true in case b=0.
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Manuscript received: March 2002; final version received: July 2002
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ID="*" The author gratefully acknowledges support from RiskLab, Switzerland[-3mm]
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Göing-Jaeschke, A., Yor, M. A clarification note about hitting times densities for Ornstein-Uhlenbeck processes. Finance Stochast 7, 413–415 (2003). https://doi.org/10.1007/s007800200092
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DOI: https://doi.org/10.1007/s007800200092