ON THE INVERSE FIRST-PASSAGE-TIME PROBLEM FOR A WIENER PROCESS

被引：35

作者：

Zucca, Cristina ^{[1
]}

Sacerdote, Laura ^{[1
]}

机构：

[1] Univ Turin, Dept Math, I-10123 Turin, Italy

来源：

ANNALS OF APPLIED PROBABILITY | 2009年 / 19卷 / 04期

关键词：

Inverse first-passage problem; Wiener process; stopping time; PROBABILITY DENSITIES; INTEGRAL-EQUATION; BROWNIAN-MOTION; BOUNDARIES;

D O I：

10.1214/08-AAP571

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The inverse first-passage problem for a Wiener process (W(t))(t >= 0) seeks to determine a function b : R(+) -> R such that tau = inf{t > 0 vertical bar W(t) >= b(t)} has a given law. In this paper two methods for approximating the unknown function b are presented. The errors of the two methods are studied. A set of examples illustrates the methods. Possible applications are enlighted.

引用

页码：1319 / 1346

页数：28

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