An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion

DOI10.1080/07362994.2019.1608834zbMath1481.60078OpenAlexW2943151935MaRDI QIDQ5231185

Mario Abundo

Publication date: 26 August 2019

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

Full work available at URL: https://doi.org/10.1080/07362994.2019.1608834

zbMATH Keywords

fractional Brownian motionfirst-passage timeinverse first-passage problem

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Stochastic integrals (60H05)

Related Items (3)

On the first-passage times of certain Gaussian processes, and related asymptotics ⋮ An inverse problem for the first-passage place of some diffusion processes with random starting point ⋮ Randomization of a linear boundary in the first-passage problem of Brownian motion

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