arXiv Analytics

Sign in

arXiv:1509.03448 [math.PR]AbstractReferencesReviewsResources

A randomized first-passage problem for drifted Brownian motion subject to hold and jump from a boundary

Mario Abundo

Published 2015-09-11Version 1

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 $S>X(0) \ge c,$ and a distribution function $F$ on $[0, + \infty ).$ 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 $F.$

Categories: math.PR
Subjects: 60J60, 60H05, 60H10
Related articles: Most relevant | Search more
arXiv:1506.01155 [math.PR] (Published 2015-06-03)
On the first-passage time of an integrated Gauss-Markov process
arXiv:1609.06854 [math.PR] (Published 2016-09-22)
On the joint distribution of first-passage time and first-passage area of drifted Brownian motion
arXiv:1705.06881 [math.PR] (Published 2017-05-19)
Exact simulation of the first-passage time of diffusions

Links

Toolbox