Mean First Passage Time of an Ornstein-Uhlenbeck Process

Code to calculate the mean first passage time of an Ornstein-Uhlenbeck process.

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.