THE INVERSE FIRST-PASSAGE PROBLEM AND OPTIMAL STOPPING
成果类型：
Article
署名作者：
Ekstrom, Erik; Janson, Svante
署名单位：
Uppsala University
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/16-AAP1172
发表日期：
2016
页码：
3154-3177
关键词：
摘要：
Given a survival distribution on the positive half-axis and a Brownian motion, a solution of the inverse first-passage problem consists of a boundary so that the first passage time over the boundary has the given distribution. We show that the solution of the inverse first-passage problem coincides with the solution of a related optimal stopping problem. Consequently, methods from optimal stopping theory may be applied in the study of the inverse first passage problem. We illustrate this with a study of the associated integral equation for the boundary.
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