An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion

被引：1

作者：

Klump, Alexander ^{[1
]}

Kolb, Martin ^{[1
]}

机构：

[1] Paderborn Univ, Inst Math, Warburger Str 100, D-33098 Paderborn, Germany

来源：

JOURNAL OF APPLIED PROBABILITY | 2024年 / 61卷 / 01期

关键词：

Inverse first-passage-time problem; boundary crossing; Brownian motion; diffusion; soft killing; stochastic ordering; TIME PROBLEM; UNIQUENESS; BOUNDARY;

D O I：

10.1017/jpr.2023.39

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We prove existence and uniqueness for the inverse-first-passage time problem for soft-killed Brownian motion using rather elementary methods relying on basic results from probability theory only. We completely avoid the relation to a suitable partial differential equation via a suitable Feynman-Kac representation, which was previously one of the main tools.

引用

页码：279 / 300

页数：22

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