On Markov Stopping Times with a Given Distribution for a Wiener Process

DOI10.1137/1125045zbMATH Open0456.60081OpenAlexW2025020640MaRDI QIDQ3906231FDOQ3906231

Authors: Svetlana Anulova 

Publication date: 1980

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1125045

zbMATH Keywords

stopping time

Mathematics Subject Classification ID

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

Cited In (8)

• 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
• On the inverse first-passage-time problem for a Wiener process
• The inverse first passage time problem for killed Brownian motion
• Higher-order regularity of the free boundary in the inverse first-passage problem
• An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion
• Geometry of distribution-constrained optimal stopping problems
• The inverse first-passage time problem as hydrodynamic limit of a particle system

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