Analysis of an Inverse First Passage Problem from Risk Management

DOI10.1137/050622651zbMATH Open1127.60036OpenAlexW2080153675MaRDI QIDQ3440232FDOQ3440232

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

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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)

Cited In (16)

• Higher-Order Regularity of the Free Boundary in the Inverse First-Passage Problem
• An approximation for the inverse first passage time problem
• The inverse first-passage-place problem for Wiener processes
• Uniqueness of the Inverse First-Passage Time Problem and the Shape of the Shiryaev Boundary
• Recovering a distribution from its translated fractional moments
• Existence and uniqueness of solutions to the inverse boundary crossing problem for diffusions
• The inverse first passage time problem for killed Brownian motion
• 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
• An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion
• 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
• Randomization in the first hitting time problem
• A Direct Approach to a First-Passage Problem with Applications in Risk Theory
• The inverse first-passage time problem as hydrodynamic limit of a particle system

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