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

DOI10.1016/J.SPL.2012.09.006MaRDI QIDQ1933720zbMATH OpenOpenAlexFDO

Authors 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

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)

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• On mimicry among sequential sampling models
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• Some randomized first-passage problems for one-dimensional diffusion processes
• Locking the Wiener process to its level-crossing time
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• An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion
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• Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk
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