Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary

Author： Abundo Mario  

Publisher： Taylor & Francis Ltd

ISSN： 0736-2994

Source： Stochastic Analysis and Applications, Vol.31, Iss.4, 2013-07, pp. : 695-707

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Abstract

We study an inverse first-passage-time problem for Wiener process X(t) subject to random jumps from a boundary c. Let be given a threshold S > X(0); and a distribution function F on [0, + ∞). The problem consists of finding the distribution of the jumps which occur when X(t) hits c, so that the first-passage time of X(t) through S has distribution F.

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