Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary

DOI10.1080/07362994.2013.800358zbMath1273.60098MaRDI QIDQ2844036

Mario Abundo

Publication date: 27 August 2013

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

Full work available at URL: https://doi.org/10.1080/07362994.2013.800358

zbMATH Keywords

first-passage time; one-dimensional diffusion; random jump

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

60H05: Stochastic integrals

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