scholarly journals Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk

2015 ◽  
Vol 25 (5) ◽  
pp. 2383-2415
Author(s):  
M. H. A. Davis ◽  
M. R. Pistorius
Keyword(s):  
Credit Risk ◽  
Explicit Solution ◽  
Lévy Processes ◽  
First Passage Time ◽  
Passage Time ◽  
Levy Processes ◽  
First Passage ◽  
Time Problem ◽  
Counterparty Credit Risk ◽  
First Passage Time Problem

scholarly journals An approximation for the inverse first passage time problem

2011 ◽  
Vol 43 (01) ◽  
pp. 264-275 ◽  
Author(s):  
Jing-Sheng Song ◽  
Paul Zipkin
Keyword(s):  
First Passage Time ◽  
Passage Time ◽  
First Passage ◽  
Time Problem ◽  
First Passage Time Problem

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.

First‐Passage Time Problem

1970 ◽  
Vol 47 (1B) ◽  
pp. 393-394 ◽  
Author(s):  
Jann‐Nan Yang ◽  
Masanobu Shinozuka
Keyword(s):  
First Passage Time ◽  
Passage Time ◽  
First Passage ◽  
Time Problem ◽  
First Passage Time Problem

Properties of noninteger moments in a first passage time problem

1989 ◽  
Vol 55 (1-2) ◽  
pp. 435-439 ◽  
Author(s):  
George H. Weiss ◽  
Shlomo Havlin ◽  
Ofer Matan
Keyword(s):  
First Passage Time ◽  
Passage Time ◽  
First Passage ◽  
Time Problem ◽  
First Passage Time Problem
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