An approximation for the inverse first passage time problem

DOI10.1239/AAP/1300198522zbMATH Open1217.60075OpenAlexW2016823683MaRDI QIDQ2996579FDOQ2996579

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

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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)

Cites Work

• On the inverse first-passage-time problem for a Wiener process
• On integral equations arising in the first-passage problem for Brownian motion
• Analysis of an Inverse First Passage Problem from Risk Management
• The first-passage density of the Brownian motion process to a curved boundary
• Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
• Sequential tests constructed from images
• Inverse method of images
• Approximating the first crossing-time density for a curved boundary
• The maximum size of a closed epidemic
• Title not available (Why is that?)
• Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
• The Generalized Shiryaev Problem and Skorokhod Embedding
• The hazard rate tangent approximation for boundary hitting times

Cited In (13)

• Title not available (Why is that?)
• The inverse first-passage-place problem for Wiener processes
• Uniqueness of the Inverse First-Passage Time Problem and the Shape of the Shiryaev Boundary
• Estimation methods for passage times using one-dependent cycles
• On the inverse first-passage-time problem for a Wiener process
• An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion
• On the method of images and the asymptotic behavior of first-passage times
• Linear programming and the inverse method of images
• On mimicry among sequential sampling models
• Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk
• Approximating the first passage time density from data using generalized Laguerre polynomials
• Inverse method of images
• The inverse first-passage time problem as hydrodynamic limit of a particle system

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