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Article: The inverse first passage time problem for killed Brownian motion

TitleThe inverse first passage time problem for killed Brownian motion
Authors
KeywordsBrownian motion
Discontinuous killing
Feynman-Kac formula
Inverse first passage problem
Killed diffusion
Issue Date2020
PublisherInstitute of Mathematical Statistics.
Citation
Annals of Applied Probability, 2020, v. 30 n. 3, p. 1251-1275 How to Cite?
AbstractThe classical inverse first passage time problem asks whether, for a Brownian motion (Bt)t≥0 and a positive random variable ξ, there exists a barrier b:R+→R such that P{Bs>b(s),0≤s≤t}=P{ξ>t}, for all t≥0. We study a variant of the inverse first passage time problem for killed Brownian motion. We show that if λ>0 is a killing rate parameter and
Persistent Identifierhttp://hdl.handle.net/10722/289731
ISSN
2019 Impact Factor: 1.537
2015 SCImago Journal Rankings: 2.685

 

DC FieldValueLanguage
dc.contributor.authorEttinger, B-
dc.contributor.authorHening, A-
dc.contributor.authorWong, TK-
dc.date.accessioned2020-10-22T08:16:39Z-
dc.date.available2020-10-22T08:16:39Z-
dc.date.issued2020-
dc.identifier.citationAnnals of Applied Probability, 2020, v. 30 n. 3, p. 1251-1275-
dc.identifier.issn1050-5164-
dc.identifier.urihttp://hdl.handle.net/10722/289731-
dc.description.abstractThe classical inverse first passage time problem asks whether, for a Brownian motion (Bt)t≥0 and a positive random variable ξ, there exists a barrier b:R+→R such that P{Bs>b(s),0≤s≤t}=P{ξ>t}, for all t≥0. We study a variant of the inverse first passage time problem for killed Brownian motion. We show that if λ>0 is a killing rate parameter and-
dc.languageeng-
dc.publisherInstitute of Mathematical Statistics.-
dc.relation.ispartofAnnals of Applied Probability-
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.subjectBrownian motion-
dc.subjectDiscontinuous killing-
dc.subjectFeynman-Kac formula-
dc.subjectInverse first passage problem-
dc.subjectKilled diffusion-
dc.titleThe inverse first passage time problem for killed Brownian motion-
dc.typeArticle-
dc.identifier.emailWong, TK: takkwong@hku.hk-
dc.identifier.authorityWong, TK=rp02167-
dc.description.naturepublished_or_final_version-
dc.identifier.doi10.1214/19-AAP1529-
dc.identifier.scopuseid_2-s2.0-85090127764-
dc.identifier.hkuros317372-
dc.identifier.volume30-
dc.identifier.issue3-
dc.identifier.spage1251-
dc.identifier.epage1275-
dc.publisher.placeUnited States-

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