Analysis of an Inverse First Passage Problem from Risk Management

DOI10.1137/050622651zbMath1127.60036OpenAlexW2080153675MaRDI QIDQ3440232

Lan Cheng, Xinfu Chen, David Saunders, John M. 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 problemboundary crossingfree boundary problemsmathematical financefirst passage problem

Mathematics Subject Classification ID

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

Related Items (14)

Uniqueness of the Inverse First-Passage Time Problem and the Shape of the Shiryaev Boundary ⋮ Recovering a distribution from its translated fractional moments ⋮ The inverse first passage time problem for killed Brownian motion ⋮ Linear programming and the inverse method of images ⋮ Higher-Order Regularity of the Free Boundary in the Inverse First-Passage Problem ⋮ On mimicry among sequential sampling models ⋮ The inverse first-passage time problem as hydrodynamic limit of a particle system ⋮ An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion ⋮ Existence and uniqueness of solutions to the inverse boundary crossing problem for diffusions ⋮ On the distribution of first exit time for Brownian motion with double linear time-dependent barriers ⋮ An approximation for the inverse first passage time problem ⋮ Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk ⋮ Randomization in the first hitting time problem ⋮ The inverse first-passage-place problem for Wiener processes

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