The inverse first passage time problem for killed Brownian motion
From MaRDI portal
Publication:2657909
DOI10.1214/19-AAP1529zbMath1460.35203arXiv1807.05438MaRDI QIDQ2657909
Alexandru Hening, Tak Kwong Wong, Boris Ettinger
Publication date: 18 March 2021
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1807.05438
Initial-boundary value problems for second-order parabolic equations (35K20) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Credit risk (91G40) Semilinear parabolic equations (35K58)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates
- The inverse first-passage problem and optimal stopping
- Existence and uniqueness of solutions to the inverse boundary crossing problem for diffusions
- Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk
- On the inverse first-passage-time problem for a Wiener process
- Partial differential equations. III: Nonlinear equations.
- Time reversal of diffusions
- On integral equations arising in the first-passage problem for Brownian motion
- A first passage problem for a bivariate diffusion process: Numerical solution with an application to neuroscience when the process is Gauss-Markov
- Killed Brownian motion with a prescribed lifetime distribution and models of default
- Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)
- Analysis of an Inverse First Passage Problem from Risk Management
- On Markov Stopping Times with a Given Distribution for a Wiener Process
- Mean first-passage times of Brownian motion and related problems
- The First Passage Problem for a Continuous Markov Process
