We propose an approximation for the inverse first passage time problem. It is
similar in spirit and method to the tangent approximation for the original
first passage time problem. We provide evidence that the technique is quite
accurate in many cases. We also identify some cases where the approximation
performs poorly.
Publié le : 2011-03-15
Classification:
Inverse first passage time,
Wiener process,
approximation,
60J65,
65N21,
58J35
@article{1300198522,
author = {Song, Jing-Sheng and Zipkin, Paul},
title = {An approximation for the inverse first passage time problem},
journal = {Adv. in Appl. Probab.},
volume = {43},
number = {1},
year = {2011},
pages = { 264-275},
language = {en},
url = {http://dml.mathdoc.fr/item/1300198522}
}
Song, Jing-Sheng; Zipkin, Paul. An approximation for the inverse first passage time problem. Adv. in Appl. Probab., Tome 43 (2011) no. 1, pp. 264-275. http://gdmltest.u-ga.fr/item/1300198522/