The double-barrier inverse first-passage problem for Wiener process with random starting point
AbstractWe 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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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 83 (2013)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- 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.
- 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.
- 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.
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