Randomized First Passage Times

Authors Sebastian Jaimungal, Alex Kreinin, Angelo Valov

Publication date 21 November 2009

Volterra integral equations (45D05) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Fredholm integral equations (45B05)

Abstract: In this article we study a problem related to the first passage and inverse first passage time problems for Brownian motions originally formulated by Jackson, Kreinin and Zhang (2009). Specifically, define

a u_{X} = i n f t > 0 : W_{t} + X l e b (t)

where

W_{t}

is a standard Brownian motion, then given a boundary function

b : [0, i n f t y) o R R

and a target measure

m u

on

[0, i n f t y)

, we seek the random variable

X

such that the law of

a u_{X}

is given by

m u

. We characterize the solutions, prove uniqueness and existence and provide several key examples associated with the linear boundary.

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