An approximation for the inverse first passage time problem

DOI10.1239/AAP/1300198522MaRDI QIDQ2996579zbMATH OpenOpenAlexFDO

Authors

Publication date 3 May 2011

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1300198522

zbMATH Keywords

Wiener processinverse first passage time

Mathematics Subject Classification ID

Brownian motion (60J65) Numerical methods for inverse problems for boundary value problems involving PDEs (65N21) Heat and other parabolic equation methods for PDEs on manifolds (58J35)

Recommendations

• On the inverse first-passage-time problem for a Wiener process
• Analysis of an Inverse First Passage Problem from Risk Management
• Inverse method of images
• The inverse first-passage problem and optimal stopping
• Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions

Cites work

• scientific article; zbMATH DE number 3320019 (Why is no real title available?)
• Analysis of an Inverse First Passage Problem from Risk Management
• Approximating the first crossing-time density for a curved boundary
• Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
• Inverse method of images
• Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
• On integral equations arising in the first-passage problem for Brownian motion
• On the inverse first-passage-time problem for a Wiener process
• Sequential tests constructed from images
• The first-passage density of the Brownian motion process to a curved boundary
• The generalized Shiryaev problem and Skorokhod embedding
• The hazard rate tangent approximation for boundary hitting times
• The maximum size of a closed epidemic

Cited in

(17)

• Inverse method of images
• Uniqueness of the Inverse First-Passage Time Problem and the Shape of the Shiryaev Boundary
• Linear programming and the inverse method of images
• A cumulant approach for the first-passage-time problem of the Feller square-root process
• The inverse first-passage-place problem for Wiener processes
• Approximating the first passage time density from data using generalized Laguerre polynomials
• First passage density of Brownian motion with two-sided piecewise linear boundaries
• On mimicry among sequential sampling models
• On the inverse first-passage-time problem for a Wiener process
• The inverse first-passage problem and optimal stopping
• scientific article; zbMATH DE number 7640323 (Why is no real title available?)
• Estimation methods for passage times using one-dependent cycles
• An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion
• An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion
• The inverse first-passage time problem as hydrodynamic limit of a particle system
• On the method of images and the asymptotic behavior of first-passage times
• Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk

This page was built for publication: An approximation for the inverse first passage time problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2996579)