The inverse first-passage-place problem for Wiener processes

DOI10.1080/07362994.2021.1889382zbMath1483.60120OpenAlexW3130023923MaRDI QIDQ5024370

Mario Lefebvre

Publication date: 31 January 2022

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

Full work available at URL: https://doi.org/10.1080/07362994.2021.1889382

zbMATH Keywords

Brownian motiondiffusion processesfirst exit timeKolmogorov backward equation

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

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• An inverse first-passage problem for one-dimensional diffusions with random starting point
• On the inverse first-passage-time problem for a Wiener process
• Applied stochastic processes.
• Moments of first-passage places for jump-diffusion processes
• An approximation for the inverse first passage time problem
• Analysis of an Inverse First Passage Problem from Risk Management
• First passage times of a jump diffusion process
• An inverse problem for the first-passage place of some diffusion processes with random starting point
• On the inverse of the first passage time probability problem

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