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Abundo M. Some examples of solutions to an inverse problem for the first-passage place of a jump-diffusion process. CONTROL AND CYBERNETICS 2022; 51:31-42. [DOI: 10.2478/candc-2022-0003] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 09/02/2023]
Abstract
Abstract
We report some additional examples of explicit solutions to an inverse first-passage place problem for one-dimensional diffusions with jumps, introduced in a previous paper. If X(t) is a one-dimensional diffusion with jumps, starting from a random position η ∈ [a, b], let be τ
a,b the time at which X(t) first exits the interval (a, b), and π
a = P (X(τ
a,b) ≤ a) the probability of exit from the left of (a, b). Given a probability q ∈ (0, 1), the problem consists in finding the density g of η (if it exists) such that π
a = q; it can be seen as a problem of optimization.
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Affiliation(s)
- Mario Abundo
- Dipartimento di Matematica , Università “Tor Vergata” , via della Ricerca Scientifica , Rome , Italy
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Abundo M. An inverse problem for the first-passage place of some diffusion processes with random starting point. STOCHASTIC ANALYSIS AND APPLICATIONS 2020; 38:1122-1133. [DOI: 10.1080/07362994.2020.1768867] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Subscribe] [Scholar Register] [Received: 02/08/2020] [Revised: 04/27/2020] [Accepted: 05/07/2020] [Indexed: 09/02/2023]
Affiliation(s)
- Mario Abundo
- Dipartimento di Matematica, Università “Tor Vergata”, Rome, Italy
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Abundo M. Randomization of a linear boundary in the first-passage problem of Brownian motion. STOCHASTIC ANALYSIS AND APPLICATIONS 2020; 38:343-351. [DOI: 10.1080/07362994.2019.1695629] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Subscribe] [Scholar Register] [Received: 10/14/2019] [Revised: 11/14/2019] [Accepted: 11/18/2019] [Indexed: 09/02/2023]
Affiliation(s)
- Mario Abundo
- Dipartimento di Matematica, Università “Tor Vergata”, Rome, Italy
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Abundo M. An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion. STOCHASTIC ANALYSIS AND APPLICATIONS 2019; 37:708-716. [DOI: 10.1080/07362994.2019.1608834] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.4] [Reference Citation Analysis] [Track Full Text] [Subscribe] [Scholar Register] [Received: 03/28/2019] [Revised: 04/09/2019] [Accepted: 04/14/2019] [Indexed: 09/02/2023]
Affiliation(s)
- Mario Abundo
- Dipartimento di Matematica, Università “Tor Vergata”, Rome, Italy
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