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
收藏
页码：1201 / 1208
页数：7
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