AN APPROXIMATION FOR THE INVERSE FIRST PASSAGE TIME PROBLEM

作者：Song Jing Sheng^*; Zipkin Paul

来源：Advances in Applied Probability, 2011, 43(1): 264-275.

• Inverse first passage time
• Wiener process
• approximation

We propose an approximation for the inverse first passage time problem. It is similar in spirit and method to the tangent approximation for the original first passage time problem. We provide evidence that the technique is quite accurate in many cases. We also identify some cases where the approximation performs poorly.

• 出版日期2011-3