The randomized first-hitting problem of continuously time-changed Brownian motion
Summary: Let \(X(t)\) be a continuously time-changed Brownian motion starting from a random position \(\eta\), \(S(t)\) a given continuous, increasing boundary, with \(S(0) \geq 0\), \(P(\eta \geq S(0)) = 1\), and \(F\) an assigned distribution function. We study the inverse first-passage time problem for \(X(t)\), which consists in finding the distribution of \(\eta\) such that the first-passage time of \(X(t)\) below \(S(t)\) has distribution \(F\), generalizing the results, valid in the case when \(S(t)\) is a straight line. Some explicit examples are reported.
- A note on first-passage times of continuously time-changed Brownian motion
- First hitting time of integral diffusions and applications
- scientific article; zbMATH DE number 1349220
- First hitting problems for Markov chains that converge to a geometric Brownian motion
- The successive hitting times for the integrated Brownian motion
- An Excursion characterization of the first hitting time of Brownian motion in a smooth boundary
- scientific article; zbMATH DE number 1960651
- scientific article; zbMATH DE number 1500601
- A computational approach to first-passage-time problems for Gauss-Markov processes
- A note on first-passage times of continuously time-changed Brownian motion
- An inverse first-passage problem for one-dimensional diffusions with random starting point
- Credit risk modeling using time-changed Brownian motion
- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
- scientific article; zbMATH DE number 48952 (Why is no real title available?)
- scientific article; zbMATH DE number 2149576 (Why is no real title available?)
- scientific article; zbMATH DE number 7640323 (Why is no real title available?)
- scientific article; zbMATH DE number 2199827 (Why is no real title available?)
- Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
- On integral equations arising in the first-passage problem for Brownian motion
- On the inverse first-passage-time problem for a Wiener process
- On the M/M/1 queue with catastrophes and its continuous approximation
- Randomization in the first hitting time problem
- Some randomized first-passage problems for one-dimensional diffusion processes
- The effect of a random initial value in neural first-passage-time models
- The First Passage Problem for a Continuous Markov Process
- The generalized Shiryaev problem and Skorokhod embedding
- On a first hit distribution of the running maximum of Brownian motion
- A randomized first-passage problem for drifted Brownian motion subject to hold and jump from a boundary
- An inverse problem for the first-passage place of some diffusion processes with random starting point
- Randomization of a linear boundary in the first-passage problem of Brownian motion
- An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion
- An Excursion characterization of the first hitting time of Brownian motion in a smooth boundary
- Study of direct and inverse first-exit problems for drifted Brownian motion with Poissonian resetting
- Inverse first-passage problems of a diffusion with resetting
- Recurrent first hitting times in Wiener diffusion under several observation schemes
This page was built for publication: The randomized first-hitting problem of continuously time-changed Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1634350)
