Randomization in the first hitting time problem
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Publication:1038440
DOI10.1016/j.spl.2009.08.016zbMath1184.60031OpenAlexW2079283918MaRDI QIDQ1038440
Wanhe Zhang, Alexander Kreinin, Ken Jackson
Publication date: 18 November 2009
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2009.08.016
Related Items (12)
The randomized first-hitting problem of continuously time-changed Brownian motion ⋮ One-Dimensional Reflected Diffusions with Two Boundaries and an Inverse First-Hitting Problem ⋮ An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion ⋮ A study of search algorithms' optimization speed ⋮ An inverse first-passage problem for one-dimensional diffusions with random starting point ⋮ The dynamic mixed hitting-time model for multiple transaction prices and times ⋮ A randomized first-passage problem for drifted Brownian motion subject to hold and jump from a boundary ⋮ Competitive real options under private information ⋮ 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 ⋮ Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary
Cites Work
- Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
- On integral equations arising in the first-passage problem for Brownian motion
- Taylor expansions of curve-crossing probabilities
- Analysis of an Inverse First Passage Problem from Risk Management
- Term Structures of Credit Spreads with Incomplete Accounting Information
- Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
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