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Zapiski Nauchnykh Seminarov POMI, 1997, Volume 244, Pages 302–314 (Mi znsl528)  

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
English version:
Journal of Mathematical Sciences (New York), 2000, Volume 99, Issue 2, Pages 1201–1208
DOI: https://doi.org/10.1007/BF02673644
Bibliographic databases:
UDC: 519.2
Language: Russian
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
Citation in format AMSBIB
\Bibitem{Har97}
\by B.~P.~Harlamov
\paper Inverse first exit problem for Wiener process
\inbook Probability and statistics. Part~2
\serial Zap. Nauchn. Sem. POMI
\yr 1997
\vol 244
\pages 302--314
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl528}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=1700397}
\zmath{https://zbmath.org/?q=an:0954.60065}
\transl
\jour J. Math. Sci. (New York)
\yr 2000
\vol 99
\issue 2
\pages 1201--1208
\crossref{https://doi.org/10.1007/BF02673644}
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