On the inverse of the first passage time probability problem

Abstract

Since the pioneering work of Siegert (1951), the problem of determining the first passage time distribution for a preassigned continuous and time homogeneous Markov process described by a diffusion equation has been deeply analyzed and satisfactorily solved. Here we discuss the “inverse problem” — of applicative interest — consisting in deciding whether a given function can be considered as the first passage time probability density function for some continuous and homogeneous Markov diffusion process. A constructive criterion is proposed, and some examples are provided. One of these leads to a singular diffusion equation representing a dynamical model for the genesis of the lognormal distribution.