A randomized first-passage problem for drifted Brownian motion subject to hold and jump from a boundary. Issue 1 (2nd January 2016)

• Record Type: Journal Article
• Authors: Abundo, Mario
• Is Part Of: Stochastic analysis and applications. Volume 34:Issue 1(2016)
• Page Start: 38
• Page End: 46
• Publication Date: 2016-01-02
• Subjects: First-passage time -- one-dimensional diffusion -- random jump -- holding time; 60J60 -- 60H05 -- 60H10; Stochastic analysis -- Periodicals; 519.2205
• DOI: 10.1080/07362994.2015.1099047
• Languages: English
• ISSNs: 0736-2994

Abstract

Abstract: We study an inverse first-passage-time problem for Wiener process X ( t ) subject to hold and jump from a boundary c . Let be given a threshold S > X (0) ≥ c, and a distribution function F on [0, +∞). The problem consists in finding the distribution of the holding time at c and the distribution of jumps from c, so that the first-passage time of X ( t ) through S has distribution F .