The double-barrier inverse first-passage problem for Wiener process with random starting point
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Publication:1933720
DOI10.1016/j.spl.2012.09.006zbMath1261.60075MaRDI QIDQ1933720
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
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J60: Diffusion processes
60H05: Stochastic integrals
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