Analysis of an Inverse First Passage Problem from Risk Management

DOI10.1137/050622651zbMath1127.60036OpenAlexW2080153675MaRDI QIDQ3440232

Lan Cheng, Xinfu Chen, David Saunders, John M. Chadam

Publication date: 22 May 2007

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/050622651

zbMATH Keywords

inverse problemboundary crossingfree boundary problemsmathematical financefirst passage problem

Mathematics Subject Classification ID

Other nonlinear integral equations (45G10) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Free boundary problems for PDEs (35R35) Inverse problems involving ordinary differential equations (34A55) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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