The inverse first-passage problem and optimal stopping

DOI10.1214/16-AAP1172zbMath1351.60110arXiv1508.07827MaRDI QIDQ350712

Svante Janson, Erik Ekström

Publication date: 9 December 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.07827

zbMATH Keywords

optimal stoppingnonlinear integral equationinverse first-passage problem

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (10)

Uniqueness of the Inverse First-Passage Time Problem and the Shape of the Shiryaev Boundary ⋮ From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding ⋮ Robust pricing-hedging dualities in continuous time ⋮ The inverse first passage time problem for killed Brownian motion ⋮ A dynamic programming approach to distribution-constrained optimal stopping ⋮ Higher-Order Regularity of the Free Boundary in the Inverse First-Passage Problem ⋮ 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 ⋮ The dividend problem with a finite horizon ⋮ The inverse first passage time method for a two dimensional Ornstein Uhlenbeck process with neuronal application

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