Inverse first-exit problem for the Wiener process

被引：0

作者：

Harlamov B.P.

机构：

来源：

Journal of Mathematical Sciences | 2000年 / 99卷 / 2期

基金：

俄罗斯基础研究基金会;

关键词：

Lebesgue Measure; Wiener Process; Moment Equation; Estimate Domain; Multidimensional Diffusion;

D O I：

10.1007/BF02673644

中图分类号：

学科分类号：

摘要：

The following inverse first-exit problem for the Wiener process is considered: to find a domain G such that (0,0) ∈ G ∪ ∂G ⊂ ℝ+ x ℝ and the distribution of the first-exit point from this domain has given properties. Theorems on comparison of densiries and moment characterization of domains are applied in estimating domains with uniform distribution of the first-exit point. Two asymptotics are investigated corresponding to densities uniformly tending to zero and to infinity. ©2000 Kluwer Academic/Plenum Publishers.

引用

页码：1201 / 1208

页数：7

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