English

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 X(t)X(t) reflected between two boundaries aa and b,b, which starts from a random position η.\eta. Let aSba \le S \le b be a given threshold, such that P(η[a,S])=1,P( \eta \in [a,S])=1, and FF an assigned distribution function. The problem consists of finding the distribution of η\eta such that the first-hitting time of XX to SS has distribution F.F. 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}
}
R2 v1 2026-06-22T04:19:41.678Z