inverse first passage problem
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An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion

Stochastic Analysis and Applications ◽

10.1080/07362994.2019.1608834 ◽

2019 ◽

Vol 37 (5) ◽

pp. 708-716 ◽

Cited By ~ 2

Author(s):

Mario Abundo

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

First Passage ◽

First Passage Problem ◽

Inverse First Passage Problem

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The inverse first-passage problem and optimal stopping

The Annals of Applied Probability ◽

10.1214/16-aap1172 ◽

2016 ◽

Vol 26 (5) ◽

pp. 3154-3177 ◽

Cited By ~ 2

Author(s):

Erik Ekström ◽

Svante Janson

Keyword(s):

Optimal Stopping ◽

First Passage ◽

First Passage Problem ◽

Inverse First Passage Problem

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Calculation of failure level based on inverse first passage problem

2014 Reliability and Maintainability Symposium ◽

10.1109/rams.2014.6798459 ◽

2014 ◽

Cited By ~ 4

Author(s):

Yingjun Deng ◽

Anne Barros ◽

Antoine Grall

Keyword(s):

First Passage ◽

First Passage Problem ◽

Inverse First Passage Problem

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The double-barrier inverse first-passage problem for Wiener process with random starting point

Statistics & Probability Letters ◽

10.1016/j.spl.2012.09.006 ◽

2013 ◽

Vol 83 (1) ◽

pp. 168-176 ◽

Cited By ~ 7

Author(s):

Mario Abundo

Keyword(s):

Wiener Process ◽

First Passage ◽

Double Barrier ◽

Starting Point ◽

Random Starting Point ◽

First Passage Problem ◽

Inverse First Passage Problem

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Erratum to: “An inverse first-passage problem for one-dimensional diffusions with random starting point” [Statist. Probab. Lett. 82 (2012) 7–14]

Statistics & Probability Letters ◽

10.1016/j.spl.2011.11.020 ◽

2012 ◽

Vol 82 (3) ◽

pp. 705 ◽

Cited By ~ 3

Author(s):

Mario Abundo

Keyword(s):

First Passage ◽

One Dimensional ◽

Starting Point ◽

Random Starting Point ◽

First Passage Problem ◽

Inverse First Passage Problem

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An inverse first-passage problem for one-dimensional diffusions with random starting point

Statistics & Probability Letters ◽

10.1016/j.spl.2011.09.005 ◽

2012 ◽

Vol 82 (1) ◽

pp. 7-14 ◽

Cited By ~ 14

Author(s):

Mario Abundo

Keyword(s):

First Passage ◽

One Dimensional ◽

Starting Point ◽

Random Starting Point ◽

First Passage Problem ◽

Inverse First Passage Problem

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Analysis of an Inverse First Passage Problem from Risk Management

SIAM Journal on Mathematical Analysis ◽

10.1137/050622651 ◽

2006 ◽

Vol 38 (3) ◽

pp. 845-873 ◽

Cited By ~ 15

Author(s):

Lan Cheng ◽

Xinfu Chen ◽

John Chadam ◽

David Saunders

Keyword(s):

Risk Management ◽

First Passage ◽

First Passage Problem ◽

Inverse First Passage Problem

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