An approximation for the inverse first passage time problem
| Autor: | Jing-Sheng Song, Paul Zipkin |
|---|---|
| Rok vydání: | 2011 |
| Předmět: |
Statistics and Probability
65N21 Applied Mathematics 010102 general mathematics Tangent Inverse Inverse first passage time 01 natural sciences Wiener process 010104 statistics & probability symbols.namesake 58J35 symbols 60J65 Applied mathematics 0101 mathematics First-hitting-time model approximation Mathematics |
| Zdroj: | Adv. in Appl. Probab. 43, no. 1 (2011), 264-275 |
| ISSN: | 1475-6064 0001-8678 |
| DOI: | 10.1239/aap/1300198522 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|