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

IF 0.7 4区数学 Q3 STATISTICS & PROBABILITY

Journal of Applied Probability Pub Date : 2023-07-04 DOI:10.1017/jpr.2023.39

Alexander Klump, Martin Kolb

引用次数: 0

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.

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软扼杀Brownian运动逆第一通过时间问题的一种初等解法

我们仅依靠概率论的基本结果，用相当初等的方法证明了软扼杀布朗运动逆第一通过时间问题的存在性和唯一性。我们通过合适的Feynman–Kac表示完全避免了与合适的偏微分方程的关系，这是以前的主要工具之一。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Applied Probability 数学-统计学与概率论

CiteScore

1.50

自引率

10.00%

发文量

审稿时长

6-12 weeks

期刊介绍： Journal of Applied Probability is the oldest journal devoted to the publication of research in the field of applied probability. It is an international journal published by the Applied Probability Trust, and it serves as a companion publication to the Advances in Applied Probability. Its wide audience includes leading researchers across the entire spectrum of applied probability, including biosciences applications, operations research, telecommunications, computer science, engineering, epidemiology, financial mathematics, the physical and social sciences, and any field where stochastic modeling is used. A submission to Applied Probability represents a submission that may, at the Editor-in-Chief’s discretion, appear in either the Journal of Applied Probability or the Advances in Applied Probability. Typically, shorter papers appear in the Journal, with longer contributions appearing in the Advances.