An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion

Author:

Klump Alexander,Kolb Martin

Abstract

Abstract We prove existence and uniqueness for the inverse-first-passage time problem for soft-killed Brownian motion using rather elementary methods relying on basic results from probability theory only. We completely avoid the relation to a suitable partial differential equation via a suitable Feynman–Kac representation, which was previously one of the main tools.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference25 articles.

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