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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
