On the inverse first-passage-time problem for a Wiener process
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Publication:835061
DOI10.1214/08-AAP571zbMath1173.60344arXiv0908.4213MaRDI QIDQ835061
Laura Sacerdote, Cristina Zucca
Publication date: 27 August 2009
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0908.4213
Monte Carlo methods (65C05) Numerical methods for integral equations (65R20) Other nonlinear integral equations (45G10) Brownian motion (60J65) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stopping times; optimal stopping problems; gambling theory (60G40)
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