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The double-barrier inverse first-passage problem for Wiener process with random starting point

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  • Abundo, Mario

Abstract

We consider the double-barrier inverse first-passage time (IFPT) problem for Wiener process X(t), starting from a random position η. Let a

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  • Abundo, Mario, 2013. "The double-barrier inverse first-passage problem for Wiener process with random starting point," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 168-176.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:1:p:168-176
    DOI: 10.1016/j.spl.2012.09.006
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    References listed on IDEAS

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    1. Abundo, Mario, 2002. "Some conditional crossing results of Brownian motion over a piecewise-linear boundary," Statistics & Probability Letters, Elsevier, vol. 58(2), pages 131-145, June.
    2. Abundo, Mario, 2012. "An inverse first-passage problem for one-dimensional diffusions with random starting point," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 7-14.
    3. Jackson, Ken & Kreinin, Alexander & Zhang, Wanhe, 2009. "Randomization in the first hitting time problem," Statistics & Probability Letters, Elsevier, vol. 79(23), pages 2422-2428, December.
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    Cited by:

    1. Elhiwi, Majdi, 2014. "Default barrier intensity model for credit risk evaluation," Statistics & Probability Letters, Elsevier, vol. 95(C), pages 125-131.

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