Enrico Bibbona et al 2008 Metrologia 45 S117 doi:10.1088/0026-1394/45/6/S17
Enrico Bibbona1,3, Gianna Panfilo2 and Patrizia Tavella1
Show affiliationsThe Ornstein–Uhlenbeck process is presented with its main mathematical properties and with original results on the first crossing times in the case of two threshold barriers. The interpretation of filtered white noise, its stationary spectrum and Allan variance are also presented for ease of use in the time and frequency metrology field. An improved simulation scheme for the evaluation of first passage times between two barriers is also introduced.
Issue 6 (December 2008)
Received 16 July 2008
Published 5 December 2008
Enrico Bibbona et al 2008 Metrologia 45 S117
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