Analysis of an Inverse First Passage Problem from Risk Management

DOI10.1137/050622651MaRDI QIDQ3440232zbMATH OpenOpenAlexFDO

Authors Lan Cheng, Xinfu Chen, David Saunders, John Chadam

Publication date 22 May 2007

Published in SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/050622651

zbMATH Keywords

inverse problemfree boundary problemsfirst passage problemmathematical financeboundary crossing

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60) Inverse problems involving ordinary differential equations (34A55) Free boundary problems for PDEs (35R35) Other nonlinear integral equations (45G10) Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

• Higher-order regularity of the free boundary in the inverse first-passage problem
• 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
• An inverse problem for the first-passage place of some diffusion processes with random starting point
• An inverse first-passage problem for one-dimensional diffusions with random starting point

Cited in

(18)

• Variational inequalities arising from credit rating migration with buffer zone
• On the distribution of first exit time for Brownian motion with double linear time-dependent barriers
• Uniqueness of the Inverse First-Passage Time Problem and the Shape of the Shiryaev Boundary
• Existence and uniqueness of solutions to the inverse boundary crossing problem for diffusions
• Linear programming and the inverse method of images
• The inverse first-passage-place problem for Wiener processes
• A Direct Approach to a First-Passage Problem with Applications in Risk Theory
• Time reversal and last passage time of diffusions with applications to credit risk management
• On mimicry among sequential sampling models
• An approximation for the inverse first passage time problem
• The inverse first-passage problem and optimal stopping
• Randomization in the first hitting time problem
• The inverse first passage time problem for killed Brownian motion
• An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion
• Recovering a distribution from its translated fractional moments
• The inverse first-passage time problem as hydrodynamic limit of a particle system
• Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk
• Higher-order regularity of the free boundary in the inverse first-passage problem

This page was built for publication: Analysis of an Inverse First Passage Problem from Risk Management

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3440232)