Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
Author:
- 1 December 2006
- journal article
- research article
- Published by Taylor & Francis in Stochastic Analysis and Applications
- Vol. 24 (6) , 1119-1145
Abstract
We study the limit at zero of the first-passage time density of a one-dimensional diffusion process over a moving boundary and we also deal with the inverse first-passage time problem, which consists of determining the boundary shape when the first-passage density is known. Our results generalize the analogous ones already known for Brownian motion. We illustrate some examples for which the results are obtained analytically and by a numerical procedure.Keywords
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