On the empirical estimator of the boundary in inverse first-exit problems

DOI10.1007/S00180-020-00989-XzbMath1505.62171OpenAlexW3021848268MaRDI QIDQ2667001

Sercan Gür, Klaus Pötzelberger

Publication date: 23 November 2021

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-020-00989-x

zbMATH Keywords

Markov chain Monte CarloBayes estimatorempirical estimatorinverse first passage times

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Numerical methods for integral equations (65R20) Brownian motion (60J65) Stochastic integral equations (60H20)

Related Items (2)

The inverse first-passage time problem as hydrodynamic limit of a particle system ⋮ An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion

Uses Software

• JAGS

Cites Work

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