Abstract
The first-passage problem of the Ornstein-Uhlenbeck (OU) process to a boundary is a long-standing problem with no known closed-form solution except in specifc 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.