We study an inverse first-passage-time problem for Wiener process X(t) subject to random jumps from a boundary c. Let be given a threshold S > X(0); and a distribution function F on [0, + ∞). The problem consists of finding the distribution of the jumps which occur when X(t) hits c, so that the first-passage time of X(t) through S has distribution F.
Abundo, M.r. (2013). Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary. STOCHASTIC ANALYSIS AND APPLICATIONS, 31(4), 695-707 [10.1080/07362994.2013.800358].
Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary
ABUNDO, MARIO ROSOLINO
2013-01-01
Abstract
We study an inverse first-passage-time problem for Wiener process X(t) subject to random jumps from a boundary c. Let be given a threshold S > X(0); and a distribution function F on [0, + ∞). The problem consists of finding the distribution of the jumps which occur when X(t) hits c, so that the first-passage time of X(t) through S has distribution F.File in questo prodotto:
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