An inverse problem for the first-passage place of some diffusion processes with random starting point

DOI10.1080/07362994.2020.1768867zbMath1456.60196OpenAlexW3028296289MaRDI QIDQ4964394

Mario Abundo

Publication date: 2 March 2021

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

Full work available at URL: https://doi.org/10.1080/07362994.2020.1768867

zbMATH Keywords

jump-diffusion processfirst-passage placeinverse first-passage place problem

Mathematics Subject Classification ID

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

Related Items (1)

The inverse first-passage-place problem for Wiener processes

Cites Work

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• On the first-exit time problem for temporally homogeneous Markov processes
• First passage times of a jump diffusion process
• An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion

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