One-dimensional reflected diffusions with two boundaries and an inverse first-hitting problem
Probability
2014-11-13 v1
Abstract
We study an inverse first-hitting problem for a one-dimensional, time-homogeneous diffusion reflected between two boundaries and which starts from a random position Let be a given threshold, such that and an assigned distribution function. The problem consists of finding the distribution of such that the first-hitting time of to has distribution This is a generalization of the analogous problem for ordinary diffusions, i.e. without reflecting, previously considered by the author.
Keywords
Cite
@article{arxiv.1405.5333,
title = {One-dimensional reflected diffusions with two boundaries and an inverse first-hitting problem},
author = {Mario Abundo},
journal= {arXiv preprint arXiv:1405.5333},
year = {2014}
}