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

DOI10.1016/J.SPL.2012.09.006zbMATH Open1261.60075OpenAlexW2020346463MaRDI QIDQ1933720FDOQ1933720

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

Recommendations

• The inverse first-passage-place problem for Wiener processes
• On the inverse first-passage-time problem for a Wiener process
• Inverse first-exit problem for the Wiener process
• Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary
• An inverse first-passage problem for one-dimensional diffusions with random starting point
• An inverse problem for the first-passage place of some diffusion processes with random starting point
• First Passage Problems for Asymmetric Wiener Processes
• First passage time distribution of a Wiener process with drift concerning two elastic barriers

zbMATH Keywords

diffusionfirst-passage timeinverse first-passage problem

Mathematics Subject Classification ID

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

Cited In (8)

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

This page was built for publication: The double-barrier inverse first-passage problem for Wiener process with random starting point

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1933720)