One-dimensional reflected diffusions with two boundaries and an inverse first-hitting problem

DOI10.1080/07362994.2014.959595MaRDI QIDQ2937462zbMATH OpenOpenAlexFDO

Authors Mario Abundo

Publication date 9 January 2015

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.5333

zbMATH Keywords

inverse first-hitting problemtime-homogeneous diffusion

Mathematics Subject Classification ID

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

Abstract: We study an inverse first-hitting problem for a one-dimensional, time-homogeneous diffusion $X(t)$ reflected between two boundaries $a$ and $b,$ which starts from a random position $eta.$ Let $aleSleb$ be a given threshold, such that $P(etain[a,S])=1,$ and $F$ an assigned distribution function. The problem consists of finding the distribution of $eta$ such that the first-hitting time of $X$ to $S$ has distribution $F.$ This is a generalization of the analogous problem for ordinary diffusions, i.e. without reflecting, previously considered by the author.

Recommendations

• An inverse first-passage problem for one-dimensional diffusions with random starting point
• Some randomized first-passage problems for one-dimensional diffusion processes
• An inverse problem for the first-passage place of some diffusion processes with random starting point
• Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
• The inverse first-passage-place problem for Wiener processes

Cites work

• A diffusion approximation for a Markovian queue with reneging
• An inverse first-passage problem for one-dimensional diffusions with random starting point
• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
• Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism
• scientific article; zbMATH DE number 4078444 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 50931 (Why is no real title available?)
• scientific article; zbMATH DE number 3493681 (Why is no real title available?)
• Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
• Lookback options and diffusion hitting times: a spectral expansion approach
• On first–crossing times of one–dimensional diffusions over two time–dependent boundaries
• On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
• On the first hitting time of a one-dimensional diffusion and a compound Poisson process
• On the first passage times of reflected O-U processes with two-sided barriers
• On the First-Passage Time of a Diffusion Process Over a One-Sided Stochastic Boundary
• On the inverse first-passage-time problem for a Wiener process
• On the M/M/1 queue with catastrophes and its continuous approximation
• On the probability densities of an Ornstein–Uhlenbeck process with a reflecting boundary
• On the transition densities for reflected diffusions
• Properties of the reflected Ornstein-Uhlenbeck process
• Randomization in the first hitting time problem
• Simulation run lengths to estimate blocking probabilities
• Some conditional crossing results of Brownian motion over a piecewise-linear boundary
• Stochastic differential equations with reflecting boundary conditions
• The conditional probability density function for a reflected Brownian motion
• The double-barrier inverse first-passage problem for Wiener process with random starting point
• The effect of a random initial value in neural first-passage-time models
• The First Passage Problem for a Continuous Markov Process
• The first passage time and the dividend value function for one-dimensional diffusion processes between two reflecting barriers
• The hitting time density for a reflected Brownian motion
• The minimum of a stationary Markov process superimposed on a U-shaped trend
• Transient behavior of regulated Brownian motion, I: Starting at the origin
• Transient behavior of regulated Brownian motion, II: Non-zero initial conditions

Cited in

(10)

• On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media
• Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary
• Asymptotics of two-boundary first-exit-time densities for Gauss-Markov processes
• One-dimensional diffusion processes in half-bounded domains with reflection and a possible jump-like exit from a moving boundary
• 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
• Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary
• An inverse first-passage problem for one-dimensional diffusions with random starting point
• Study of direct and inverse first-exit problems for drifted Brownian motion with Poissonian resetting
• Inverse first-passage problems of a diffusion with resetting

This page was built for publication: One-dimensional reflected diffusions with two boundaries and an inverse first-hitting problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2937462)