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

被引：4

作者：

Abundo, Mario ^{[1
]}

机构：

[1] Univ Tor Vergata, Dipartimento Matemat, I-00133 Rome, Italy

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2013年 / 31卷 / 04期

关键词：

First-passage time; One-dimensional diffusion; Random jump; 60J60; 60H05; 60H10; ONE-DIMENSIONAL DIFFUSIONS; RANDOM STARTING POINT; BROWNIAN-MOTION; TIME; BARRIER;

D O I：

10.1080/07362994.2013.800358

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We study an inverse first-passage-time problem for Wiener process X(t) subject to random jumps from a boundary c. Let be given a threshold S>X(0); and a distribution function F on [0, +). The problem consists of finding the distribution of the jumps which occur when X(t) hits c, so that the first-passage time of X(t) through S has distribution F.

引用

页码：695 / 707

页数：13

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