An inverse first-passage problem for one-dimensional diffusions with random starting point

DOI10.1016/J.SPL.2011.09.005MaRDI QIDQ654458zbMATH OpenOpenAlexFDO

Authors Mario Abundo

Publication date 28 December 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.09.005

zbMATH Keywords

diffusionfirst-passage timeinverse first-passage problem

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

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• The minimum of a stationary Markov process superimposed on a U-shaped trend

Cited in

(27)

• The randomized first-hitting problem of continuously time-changed Brownian motion
• Integrated stationary Ornstein-Uhlenbeck process, and double integral processes
• One-dimensional reflected diffusions with two boundaries and an inverse first-hitting problem
• Uniqueness of the Inverse First-Passage Time Problem and the Shape of the Shiryaev Boundary
• The arctangent law for a certain random time related to one-dimensional diffusions
• The inverse first passage time method for a two dimensional Ornstein Uhlenbeck process with neuronal application
• The inverse first-passage-place problem for Wiener processes
• Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
• Some randomized first-passage problems for one-dimensional diffusion processes
• The mean of the running maximum of an integrated Gauss-Markov process and the connection with its first-passage time
• On the excursions of drifted Brownian motion and the successive passage times of Brownian motion
• Asymptotic of the running maximum distribution of a Gaussian Bridge
• Randomization in the first hitting time problem
• scientific article; zbMATH DE number 7640323 (Why is no real title available?)
• On the first-passage times of certain Gaussian processes, and related asymptotics
• Fractionally integrated Gauss-Markov processes and applications
• An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion
• The gamma renewal process as an output of the diffusion leaky integrate-and-fire neuronal model
• Analysis of an Inverse First Passage Problem from Risk Management
• The first-passage area of Ornstein-Uhlenbeck process revisited
• The double-barrier inverse first-passage problem for Wiener process with random starting point
• Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary
• scientific article; zbMATH DE number 3888651 (Why is no real title available?)
• An inverse problem for the first-passage place of some diffusion processes with random starting point
• Some examples of solutions to an inverse problem for the first-passage place of a jump-diffusion process
• Higher-order regularity of the free boundary in the inverse first-passage problem
• A randomized first-passage problem for drifted Brownian motion subject to hold and jump from a boundary

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