The inverse first-passage time problem as hydrodynamic limit of a particle system (Q6164874)

Given an \(N\)-dimensional Brownian motion and \(N\) fixed timepoints at each of which the particle with the largest absolute value is removed, the author constructs a process whose hydrodynamic limit is the distribution of a Brownian motion conditioned not to have exceeded the solution of an inverse first-passage time problem. For a Brownian motion \((B_t)_{t\geq0}\) and a positive random variable \(\zeta\), the inverse first-passage time problem is to find a function \(b\) such that the first passage time \(\tau_b\) defined by \(\tau_b=\inf\{t>0 : |B_t|\geq b(t)\}\) is distributed as \(\zeta\). The hydrodynamic limit of the process considered in the present paper is thus of the form \(\mathbb{P}(B_t\in\cdot|\tau_b>t)\). This limiting result is applied to the problem of Monte Carlo simulation from the solution of the inverse first-passage time problem.