Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary

DOI10.1080/07362994.2013.800358zbMath1273.60098OpenAlexW1974967109MaRDI QIDQ2844036

Mario Abundo

Publication date: 27 August 2013

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2013.800358

zbMATH Keywords

first-passage timeone-dimensional diffusionrandom jump

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic integrals (60H05)

Related Items (4)

On the excursions of drifted Brownian motion and the successive passage times of Brownian motion ⋮ Estimating a non-homogeneous Gompertz process with jumps as model of tumor dynamics ⋮ A randomized first-passage problem for drifted Brownian motion subject to hold and jump from a boundary ⋮ An inverse problem for the first-passage place of some diffusion processes with random starting point

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