OFFSET
1,1
COMMENTS
Following Steven Finch, it is assumed that the values of the parameters of the stochastic differential equation dX_t = -rho (X_t - mu) dt + sigma dW_t, satisfied by the process, are mu = 0, rho = 1 and sigma^2 = 2.
LINKS
Steven R. Finch, Ornstein-Uhlenbeck Process, May 15, 2004. [Cached copy, with permission of the author]
Eric Weisstein's MathWorld, Digamma Function
Wikipedia, Ornstein-Uhlenbeck process
FORMULA
Var(T(a,0)) = E(T(a,0))^2 -(1/2)*sum_{k >= 1} ((sqrt(2)*a)^k*Gamma(k/2)*(psi(k/2)+gamma))/k!, where 'a' is the hit level (a=1), E(T(a,0)) the expectation A249417, and psi the digamma function,
EXAMPLE
5.8420278024190413735330352325420327086898351632336...
MATHEMATICA
digits = 100; Ex[T[a_, 0]] := (1/2)*(HypergeometricPFQ[{1, 1}, {3/2, 2}, a^2/2]*a^2 + Pi*Erfi[a/Sqrt[2]]); Var[T[a_, 0]] := Ex[T[a, 0]]^2 - (1/2)*NSum[((Sqrt[2]*a)^k*Gamma[k/2]*(PolyGamma[k/2] + EulerGamma))/k!, {k, 1, Infinity}, WorkingPrecision -> digits+5, NSumTerms -> digits]; RealDigits[Var[T[1, 0]], 10, digits] // First
CROSSREFS
KEYWORD
nonn,cons
AUTHOR
Jean-François Alcover, Oct 29 2014
STATUS
approved