Inverse first-exit problem for the Wiener process

MaRDI QIDQ1576003zbMATH OpenFDO

Authors B. P. Harlamov

Publication date 24 August 2000

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

zbMATH Keywords

comparison of densitiesfirst-exit pointmoment characterization

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(8)

• On the empirical estimator of the boundary in inverse first-exit problems
• The inverse first-passage-place problem for Wiener processes
• First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses
• Itô-Wiener expansion for stopping times
• Distribution density of the first exit point of a two-dimensional diffusion process from a circle neighborhood of its initial point: the inhomogeneous case
• The double-barrier inverse first-passage problem for Wiener process with random starting point
• Asymptotics for a curve with a given distribution density of the first exit position for a Wiener process
• Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary

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