Randomization in the first hitting time problem
نویسندگان
چکیده
منابع مشابه
Randomization in the First Hitting Time Problem∗
In this paper we consider the following inverse problem for the first hitting time distribution: given a Wiener process with a random initial state, probability distribution, F (t), and a linear boundary, b(t) = μt, find a distribution of the initial state such that the distribution of the first hitting time is F (t). This problem has important applications in credit risk modeling where the pro...
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First hitting time models are a technique of modeling a stochastic process as it approaches or avoids a boundary, also known as a threshold. The process itself may be unobservable, making this a difficult problem. Regression techniques, however, can be employed to model the data as it compares to the threshold, creating a class of first hitting time models called threshold regression models. Su...
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ژورنال
عنوان ژورنال: Statistics & Probability Letters
سال: 2009
ISSN: 0167-7152
DOI: 10.1016/j.spl.2009.08.016