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Article: The inverse first passage time problem for killed Brownian motion
Title | The inverse first passage time problem for killed Brownian motion |
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Authors | |
Keywords | Brownian motion Discontinuous killing Feynman-Kac formula Inverse first passage problem Killed diffusion |
Issue Date | 2020 |
Publisher | Institute of Mathematical Statistics. |
Citation | Annals of Applied Probability, 2020, v. 30 n. 3, p. 1251-1275 How to Cite? |
Abstract | The 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 Identifier | http://hdl.handle.net/10722/289731 |
ISSN | 2023 Impact Factor: 1.4 2023 SCImago Journal Rankings: 1.620 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Ettinger, B | - |
dc.contributor.author | Hening, A | - |
dc.contributor.author | Wong, TK | - |
dc.date.accessioned | 2020-10-22T08:16:39Z | - |
dc.date.available | 2020-10-22T08:16:39Z | - |
dc.date.issued | 2020 | - |
dc.identifier.citation | Annals of Applied Probability, 2020, v. 30 n. 3, p. 1251-1275 | - |
dc.identifier.issn | 1050-5164 | - |
dc.identifier.uri | http://hdl.handle.net/10722/289731 | - |
dc.description.abstract | The 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.language | eng | - |
dc.publisher | Institute of Mathematical Statistics. | - |
dc.relation.ispartof | Annals of Applied Probability | - |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.subject | Brownian motion | - |
dc.subject | Discontinuous killing | - |
dc.subject | Feynman-Kac formula | - |
dc.subject | Inverse first passage problem | - |
dc.subject | Killed diffusion | - |
dc.title | The inverse first passage time problem for killed Brownian motion | - |
dc.type | Article | - |
dc.identifier.email | Wong, TK: takkwong@hku.hk | - |
dc.identifier.authority | Wong, TK=rp02167 | - |
dc.description.nature | published_or_final_version | - |
dc.identifier.doi | 10.1214/19-AAP1529 | - |
dc.identifier.scopus | eid_2-s2.0-85090127764 | - |
dc.identifier.hkuros | 317372 | - |
dc.identifier.volume | 30 | - |
dc.identifier.issue | 3 | - |
dc.identifier.spage | 1251 | - |
dc.identifier.epage | 1275 | - |
dc.identifier.isi | WOS:000556319800008 | - |
dc.publisher.place | United States | - |
dc.identifier.issnl | 1050-5164 | - |