We study the limit at zero of the first-passage time density of a one-dimensional diffusion process over a moving boundary and we also deal with the inverse first-passage time problem, which consists of determining the boundary shape when the first-passage density is known. Our results generalize the analogous ones already known for Brownian motion. We illustrate some examples for which the results are obtained analytically and by a numerical procedure.

Abundo, M.r. (2006). Limit at zero of the first-passage time density and the inverse problem for one-dimensional diffusions. STOCHASTIC ANALYSIS AND APPLICATIONS, 24(6), 1119-1145 [10.1080/07362990600958804].

Limit at zero of the first-passage time density and the inverse problem for one-dimensional diffusions

ABUNDO, MARIO ROSOLINO
2006-01-01

Abstract

We study the limit at zero of the first-passage time density of a one-dimensional diffusion process over a moving boundary and we also deal with the inverse first-passage time problem, which consists of determining the boundary shape when the first-passage density is known. Our results generalize the analogous ones already known for Brownian motion. We illustrate some examples for which the results are obtained analytically and by a numerical procedure.
Pubblicato
Rilevanza internazionale
Articolo
Sì, ma tipo non specificato
Settore MAT/06 - Probabilita' e Statistica Matematica
English
Con Impact Factor ISI
Brownian motion; Diffusion process; First-passage time; Random time change
Abundo, M.r. (2006). Limit at zero of the first-passage time density and the inverse problem for one-dimensional diffusions. STOCHASTIC ANALYSIS AND APPLICATIONS, 24(6), 1119-1145 [10.1080/07362990600958804].
Abundo, Mr
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/23403
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