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Some examples of solutions to an inverse problem for the first-passage place of a jump-diffusion process Cover

Some examples of solutions to an inverse problem for the first-passage place of a jump-diffusion process

By: Mario Abundo  
Open Access
|Aug 2022

References

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  3. Abundo, M. (2012) An inverse first-passage problem for one-dimensional diffusion with random starting point. Stat. and Probab. Letters 82, 7–14. See also Erratum: Stat. and Probab. Letters, 82(3), 705.10.1016/j.spl.2011.09.005
  4. Abundo, M. (2013a) Solving an inverse first-passage-time problem for Wiener process subject to random jumps from a boundary. Stochastic Anal. Appl. 31: 4, 695–707.10.1080/07362994.2013.800358
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  10. Abundo, M. (2019) An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion. Stochastic Anal. Appl. 37, 5, 708–716, https://doi.org/10.1080/07362994.2019.160883410.1080/07362994.2019.1608834
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DOI: https://doi.org/10.2478/candc-2022-0003 | Journal eISSN: 2720-4278 | Journal ISSN: 0324-8569
Language: English
Page range: 31 - 42
Submitted on: Nov 1, 2020
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Accepted on: Feb 1, 2022
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Published on: Aug 12, 2022
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year

© 2022 Mario Abundo, published by Systems Research Institute Polish Academy of Sciences
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.