Some examples of solutions to an inverse problem for the first-passage place of a jump-diffusion process

• Autorzy: Abundo Mario

Identyfikatory

DOI

10.2478/candc-2022-0003

• Języki publikacji: EN

Abstrakty

EN

We report some additional examples of explicit solu- tions 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 2 [a, b], let be τa,b the time at which X(t) first exits the interval (a, b), and πa = P(X(τa,b) ≤ a) the probability of exit from the left of (a, b). Given a probability q 2 (0, 1), the problem consists in finding the density g of η (if it exists) such that πa = q; it can be seen as a problem of optimization.

Słowa kluczowe

EN

jump-diffusion process; first-passage place; inverse first-passage place problem

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 2022
• Tom: Vol. 51, No. 1
• Strony: 31--42
• Opis fizyczny: Bibliogr. 20 poz.

Twórcy

autor

Abundo Mario

• Dipartimento di Matematica, Università “Tor Vergata”, via della Ricerca Scientifica, I-00133 Rome, Italy

Bibliografia

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