Abstract
We revisit an inverse first-passage time (IFPT) problem, in the cases of fractional Brownian motion, and time-changed Brownian motion. Let X(t) be a one dimensional continuous stochastic process starting from a random position and let S(t) be an assigned continuous boundary, such that and F an assigned distribution function. The IFPT problem here considered consists in finding the distribution of η such that the first-passage time of X(t) below S(t) has distribution F. We study this IFPT problem for fractional Brownian motion and a constant boundary we also obtain some extension to other Gaussian processes, for one, or two, time-dependent boundaries.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
