The inverse first-passage time problem as hydrodynamic limit of a particle system

DOI10.1007/S11009-023-10020-7zbMATH Open1518.60030OpenAlexW4323853759MaRDI QIDQ6164874FDOQ6164874

Authors: Alexander Klump 

Publication date: 4 July 2023

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-023-10020-7

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zbMATH Keywords

Brownian motionhydrodynamic limitparticle systeminverse first-passage time problemboundary crossing problem

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Interacting particle systems in time-dependent statistical mechanics (82C22)

Cites Work

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• Title not available (Why is that?)
• Free boundary problems in PDEs and particle systems
• Existence and uniqueness of solutions to the inverse boundary crossing problem for diffusions
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• Analysis of an Inverse First Passage Problem from Risk Management
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• Hydrodynamics of the \(N\)-BBM process
• Exact simulation of first exit times for one-dimensional diffusion processes
• On the empirical estimator of the boundary in inverse first-exit problems
• Higher-order regularity of the free boundary in the inverse first-passage problem
• Uniqueness of the Inverse First-Passage Time Problem and the Shape of the Shiryaev Boundary

Cited In (3)

• Title not available (Why is that?)
• Uniqueness of the Inverse First-Passage Time Problem and the Shape of the Shiryaev Boundary
• An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion

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