An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion
A. Klump, M. Kolb, Journal of Applied Probability 61 (2023) 279–300.
Download
No fulltext has been uploaded.
Journal Article
| Published
| English
Author
Klump, Alexander;
Kolb, Martin
Abstract
<jats:title>Abstract</jats:title><jats:p>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.</jats:p>
Publishing Year
Journal Title
Journal of Applied Probability
Volume
61
Issue
1
Page
279-300
LibreCat-ID
Cite this
Klump A, Kolb M. An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion. Journal of Applied Probability. 2023;61(1):279-300. doi:10.1017/jpr.2023.39
Klump, A., & Kolb, M. (2023). An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion. Journal of Applied Probability, 61(1), 279–300. https://doi.org/10.1017/jpr.2023.39
@article{Klump_Kolb_2023, title={An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion}, volume={61}, DOI={10.1017/jpr.2023.39}, number={1}, journal={Journal of Applied Probability}, publisher={Cambridge University Press (CUP)}, author={Klump, Alexander and Kolb, Martin}, year={2023}, pages={279–300} }
Klump, Alexander, and Martin Kolb. “An Elementary Approach to the Inverse First-Passage-Time Problem for Soft-Killed Brownian Motion.” Journal of Applied Probability 61, no. 1 (2023): 279–300. https://doi.org/10.1017/jpr.2023.39.
A. Klump and M. Kolb, “An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion,” Journal of Applied Probability, vol. 61, no. 1, pp. 279–300, 2023, doi: 10.1017/jpr.2023.39.
Klump, Alexander, and Martin Kolb. “An Elementary Approach to the Inverse First-Passage-Time Problem for Soft-Killed Brownian Motion.” Journal of Applied Probability, vol. 61, no. 1, Cambridge University Press (CUP), 2023, pp. 279–300, doi:10.1017/jpr.2023.39.
Google Scholar