An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion
A Klump, M Kolb - Journal of Applied Probability, 2024 - cambridge.org
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 …
Brownian motion using rather elementary methods relying on basic results from probability …
[HTML][HTML] The inverse first-passage time problem as hydrodynamic limit of a particle system
A Klump - Methodology and Computing in Applied Probability, 2023 - Springer
We study a particle system without branching but with selection at timepoints depending on
a given probability distribution on the positive real line. The hydrodynamic limit of the particle …
a given probability distribution on the positive real line. The hydrodynamic limit of the particle …
[PDF][PDF] The classical and the soft-killing inverse first-passage time problem: A stochastic order approach
A Klump - 2022 - homepages.uni-paderborn.de
▶ Existence and uniqueness for ξ with no atoms (Chen, Cheng, et al. 2011, free boundary
problem)▶ Uniqueness (Ekström and Janson 2016, optimal stopping problem, see also …
problem)▶ Uniqueness (Ekström and Janson 2016, optimal stopping problem, see also …
A Practical Approach to Estimating Expected Hitting Time with Applications to Climatology and Epidemiology
Hitting time, or first passage time, is the first time that a process reaches (from above or
below) a pre-specified area. Estimating expected hitting time is an important practical …
below) a pre-specified area. Estimating expected hitting time is an important practical …