Analysis of an Inverse First Passage Problem from Risk Management
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Publication:3440232
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
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)
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