Open Access
August 2009 On the inverse first-passage-time problem for a Wiener process
Cristina Zucca, Laura Sacerdote
Ann. Appl. Probab. 19(4): 1319-1346 (August 2009). DOI: 10.1214/08-AAP571


The inverse first-passage problem for a Wiener process (Wt)t≥0 seeks to determine a function b: ℝ+→ℝ such that


has a given law. In this paper two methods for approximating the unknown function b are presented. The errors of the two methods are studied. A set of examples illustrates the methods. Possible applications are enlighted.


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Cristina Zucca. Laura Sacerdote. "On the inverse first-passage-time problem for a Wiener process." Ann. Appl. Probab. 19 (4) 1319 - 1346, August 2009.


Published: August 2009
First available in Project Euclid: 27 July 2009

zbMATH: 1173.60344
MathSciNet: MR2538072
Digital Object Identifier: 10.1214/08-AAP571

Primary: 60J65 , 60K35 , 65C05 , 65R20
Secondary: 45G10 , 60G40

Keywords: Inverse first-passage problem , stopping time , Wiener process

Rights: Copyright © 2009 Institute of Mathematical Statistics

Vol.19 • No. 4 • August 2009
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