Analysis of an Inverse First Passage Problem from Risk Management

SIAM Journal on Mathematical Analysis ◽

10.1137/050622651 ◽

2006 ◽

Vol 38 (3) ◽

pp. 845-873 ◽

Author(s):

Lan Cheng ◽

Xinfu Chen ◽

John Chadam ◽

David Saunders

Keyword(s):

Risk Management ◽

First Passage ◽

First Passage Problem ◽

Inverse First Passage Problem

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The double-barrier inverse first-passage problem for Wiener process with random starting point

Statistics & Probability Letters ◽

10.1016/j.spl.2012.09.006 ◽

2013 ◽

Vol 83 (1) ◽

pp. 168-176 ◽

Author(s):

Mario Abundo

Keyword(s):

Wiener Process ◽

First Passage ◽

Double Barrier ◽

Starting Point ◽

Random Starting Point ◽

First Passage Problem ◽

Inverse First Passage Problem

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An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion

Stochastic Analysis and Applications ◽

10.1080/07362994.2019.1608834 ◽

2019 ◽

Vol 37 (5) ◽

pp. 708-716 ◽

Author(s):

Mario Abundo

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

First Passage ◽

First Passage Problem ◽

Inverse First Passage Problem

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Calculation of failure level based on inverse first passage problem

2014 Reliability and Maintainability Symposium ◽

10.1109/rams.2014.6798459 ◽

2014 ◽

Author(s):

Yingjun Deng ◽

Anne Barros ◽

Antoine Grall

Keyword(s):

First Passage ◽

First Passage Problem ◽

Inverse First Passage Problem

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The inverse first-passage problem and optimal stopping

The Annals of Applied Probability ◽

10.1214/16-aap1172 ◽

2016 ◽

Vol 26 (5) ◽

pp. 3154-3177 ◽

Author(s):

Erik Ekström ◽

Svante Janson

Keyword(s):

Optimal Stopping ◽

First Passage ◽

First Passage Problem ◽

Inverse First Passage Problem

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Erratum to: “An inverse first-passage problem for one-dimensional diffusions with random starting point” [Statist. Probab. Lett. 82 (2012) 7–14]

Statistics & Probability Letters ◽

10.1016/j.spl.2011.11.020 ◽

2012 ◽

Vol 82 (3) ◽

pp. 705 ◽

Author(s):

Mario Abundo

Keyword(s):

First Passage ◽

One Dimensional ◽

Starting Point ◽

Random Starting Point ◽

First Passage Problem ◽

Inverse First Passage Problem

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An inverse first-passage problem for one-dimensional diffusions with random starting point

Statistics & Probability Letters ◽

10.1016/j.spl.2011.09.005 ◽

2012 ◽

Vol 82 (1) ◽

pp. 7-14 ◽

Author(s):

Mario Abundo

Keyword(s):

First Passage ◽

One Dimensional ◽

Starting Point ◽

Random Starting Point ◽

First Passage Problem ◽

Inverse First Passage Problem

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First-passage problem of strongly nonlinear stochastic oscillators with external and internal resonances

European Journal of Mechanics - A/Solids ◽

10.1016/j.euromechsol.2012.10.013 ◽

2013 ◽

Vol 39 ◽

pp. 60-68 ◽

Author(s):

Y.J. Wu ◽

Y.Y. Gao ◽

L. Zhang

Keyword(s):

Internal Resonances ◽

First Passage ◽

Strongly Nonlinear ◽

Stochastic Oscillators ◽

First Passage Problem

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Approximate Solution of First-Passage Problem

Journal of the Engineering Mechanics Division ◽

10.1061/jmcea3.0002886 ◽

1982 ◽

Vol 108 (5) ◽

pp. 991-999

Author(s):

Mircea Grigoriu

Keyword(s):

Approximate Solution ◽

First Passage ◽

First Passage Problem

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Efficient Simulation Method for First Passage Problem of Linear Systems Subjected to Non-Gaussian Excitations

Journal of Engineering Mechanics ◽

10.1061/(asce)em.1943-7889.0002047 ◽

2022 ◽

Vol 148 (1) ◽

Author(s):

Zhao Zhao ◽

Zhao-Hui Lu ◽

Chun-Qing Li ◽

Yan-Gang Zhao

Keyword(s):

Linear Systems ◽

Simulation Method ◽

First Passage ◽

Efficient Simulation ◽

Non Gaussian ◽

First Passage Problem

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On first passage times of sticky reflecting diffusion processes with double exponential jumps

Journal of Applied Probability ◽

10.1017/jpr.2019.93 ◽

2020 ◽

Vol 57 (1) ◽

pp. 221-236 ◽

Author(s):

Shiyu Song ◽

Yongjin Wang

Keyword(s):

Diffusion Processes ◽

First Passage Time ◽

Passage Time ◽

Explicit Solutions ◽

First Passage ◽

Uhlenbeck Process ◽

Double Exponential ◽

Upper Level ◽

First Passage Problem ◽

AbstractWe explore the first passage problem for sticky reflecting diffusion processes with double exponential jumps. The joint Laplace transform of the first passage time to an upper level and the corresponding overshoot is studied. In particular, explicit solutions are presented when the diffusion part is driven by a drifted Brownian motion and by an Ornstein–Uhlenbeck process.

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