The double-barrier inverse first-passage problem for Wiener process with random starting point

DOI10.1016/j.spl.2012.09.006zbMath1261.60075OpenAlexW2020346463MaRDI QIDQ1933720

Mario Abundo

Publication date: 25 January 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.09.006

zbMATH Keywords

diffusionfirst-passage timeinverse first-passage problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic integrals (60H05)

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One-Dimensional Reflected Diffusions with Two Boundaries and an Inverse First-Hitting Problem ⋮ On mimicry among sequential sampling models ⋮ Default barrier intensity model for credit risk evaluation ⋮ A randomized first-passage problem for drifted Brownian motion subject to hold and jump from a boundary ⋮ An inverse problem for the first-passage place of some diffusion processes with random starting point ⋮ An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion ⋮ Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary

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