Higher-Order Regularity of the Free Boundary in the Inverse First-Passage Problem

DOI10.1137/21M1466797zbMath1496.35459arXiv2112.10918OpenAlexW4226208185MaRDI QIDQ5101326

Xinfu Chen, David Saunders, John M. Chadam

Publication date: 30 August 2022

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2112.10918

zbMATH Keywords

diffusion processesfree boundary problemshigher regularityinverse first-passage problem

Mathematics Subject Classification ID

Smoothness and regularity of solutions to PDEs (35B65) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Free boundary problems for PDEs (35R35)

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

Cites Work

• The inverse first-passage problem and optimal stopping
• Existence and uniqueness of solutions to the inverse boundary crossing problem for diffusions
• On the inverse first-passage-time problem for a Wiener process
• On integral equations arising in the first-passage problem for Brownian motion
• Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
• Analysis of an Inverse First Passage Problem from Risk Management
• CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
• On Markov Stopping Times with a Given Distribution for a Wiener Process
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