Uniqueness of the Inverse First-Passage Time Problem and the Shape of the Shiryaev Boundary

DOI10.1137/S0040585X97T991155OpenAlexW4319341322MaRDI QIDQ5883334

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Publication date: 30 March 2023

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

Full work available at URL: https://doi.org/10.1137/s0040585x97t991155

zbMATH Keywords

Brownian motionboundary crossinginverse first-passage timeShiryaev problem

Mathematics Subject Classification ID

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

Related Items (2)

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

Cites Work

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• Asymptotic approximations for Brownian motion boundary hitting times
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• Hydrodynamics of the \(N\)-BBM process
• Free boundary problems and biological systems with selection rules
• The Generalized Shiryaev Problem and Skorokhod Embedding
• Analysis of an Inverse First Passage Problem from Risk Management
• On Markov Stopping Times with a Given Distribution for a Wiener Process
• A free boundary problem arising from branching Brownian motion with selection
• Global existence for a free boundary problem of Fisher–KPP type

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