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Zapiski Nauchnykh Seminarov POMI, 1997, Volume 244, Pages 302–314
(Mi znsl528)
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Inverse first exit problem for Wiener process
B. P. Harlamov Institute of Problems of Mechanical Engineering, Russian Academy of Sciences
Abstract:
An inverse first exit problem for Wiener process is considered. This problem is to find such a ragion
$G\colon(0,0)\in G\cup\partial G\subset R_+\times R$ that a distribution of the first exit point from it has a priory given property. For to estimate of this region with the uniform distribution of the first exit point a theorem on comparing of densities and a theorem on moment characterization are used. When the uniform density tends to zero and to infinity two asymptotics are investigated.
Received: 05.11.1997
Citation:
B. P. Harlamov, “Inverse first exit problem for Wiener process”, Probability and statistics. Part 2, Zap. Nauchn. Sem. POMI, 244, POMI, St. Petersburg, 1997, 302–314; J. Math. Sci. (New York), 99:2 (2000), 1201–1208
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https://www.mathnet.ru/eng/znsl528 https://www.mathnet.ru/eng/znsl/v244/p302
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Abstract page: | 155 | Full-text PDF : | 72 |
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