We study an inverse problem for the first-passage place of a one-dimensional diffusion process X(t) (also with jumps), starting from a random position eta is an element of [a,b]. Let be tau(a,b) the first time at which X(t) exits the interval (a,b), and pi(a) = P(X(tau(a,b)) <= a) the probability of exit from the left of (a,b). Given a probability q is an element of (0, 1), the problem consists in finding the density g of eta (if it exists) such that pi(a) = q. Some explicit examples are reported.
Abundo, M. (2020). An inverse problem for the first-passage place of some diffusion processes with random starting point. STOCHASTIC ANALYSIS AND APPLICATIONS, 38(6), 1122-1133 [10.1080/07362994.2020.1768867].
An inverse problem for the first-passage place of some diffusion processes with random starting point
Abundo, Mario
2020-01-01
Abstract
We study an inverse problem for the first-passage place of a one-dimensional diffusion process X(t) (also with jumps), starting from a random position eta is an element of [a,b]. Let be tau(a,b) the first time at which X(t) exits the interval (a,b), and pi(a) = P(X(tau(a,b)) <= a) the probability of exit from the left of (a,b). Given a probability q is an element of (0, 1), the problem consists in finding the density g of eta (if it exists) such that pi(a) = q. Some explicit examples are reported.File | Dimensione | Formato | |
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