An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion

Mario Abundo

doi:10.1080/07362994.2019.1608834

An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion

Stochastic Analysis and Applications ◽

10.1080/07362994.2019.1608834 ◽

2019 ◽

Vol 37 (5) ◽

pp. 708-716 ◽

Cited By ~ 2

Author(s):

Mario Abundo

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

First Passage ◽

First Passage Problem ◽

Inverse First Passage Problem

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First passage times for a tracer particle in single file diffusion and fractional Brownian motion

The Journal of Chemical Physics ◽

10.1063/1.4707349 ◽

2012 ◽

Vol 136 (17) ◽

pp. 175103 ◽

Cited By ~ 26

Author(s):

Lloyd P. Sanders ◽

Tobias Ambjörnsson

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

Tracer Particle ◽

First Passage Times ◽

First Passage ◽

Single File ◽

Passage Times ◽

Single File Diffusion

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First passage in an interval for fractional Brownian motion

Physical Review E ◽

10.1103/physreve.99.032106 ◽

2019 ◽

Vol 99 (3) ◽

Cited By ~ 1

Author(s):

Kay Jörg Wiese

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

First Passage

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Residual mean first-passage time for jump processes: theory and applications to Lévy flights and fractional Brownian motion

Journal of Physics A Mathematical and Theoretical ◽

10.1088/1751-8113/44/25/255003 ◽

2011 ◽

Vol 44 (25) ◽

pp. 255003 ◽

Cited By ~ 9

Author(s):

V Tejedor ◽

O Bénichou ◽

Ralf Metzler ◽

R Voituriez

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

First Passage Time ◽

Passage Time ◽

Jump Processes ◽

Mean First Passage Time ◽

First Passage ◽

Lévy Flights ◽

Levy Flights

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The double-barrier inverse first-passage problem for Wiener process with random starting point

Statistics & Probability Letters ◽

10.1016/j.spl.2012.09.006 ◽

2013 ◽

Vol 83 (1) ◽

pp. 168-176 ◽

Cited By ~ 7

Author(s):

Mario Abundo

Keyword(s):

Wiener Process ◽

First Passage ◽

Double Barrier ◽

Starting Point ◽

Random Starting Point ◽

First Passage Problem ◽

Inverse First Passage Problem

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On Integral Equations Arising in the First-Passage Problem for Brownian Motion

Journal of Integral Equations and Applications ◽

10.1216/jiea/1181074930 ◽

2002 ◽

Vol 14 (4) ◽

pp. 397-423 ◽

Cited By ~ 32

Author(s):

Goran Peskir

Keyword(s):

Brownian Motion ◽

Integral Equations ◽

First Passage ◽

First Passage Problem

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A randomized first-passage problem for drifted Brownian motion subject to hold and jump from a boundary

Stochastic Analysis and Applications ◽

10.1080/07362994.2015.1099047 ◽

2015 ◽

Vol 34 (1) ◽

pp. 38-46

Author(s):

Mario Abundo

Keyword(s):

Brownian Motion ◽

First Passage ◽

First Passage Problem

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Randomization of a linear boundary in the first-passage problem of Brownian motion

Stochastic Analysis and Applications ◽

10.1080/07362994.2019.1695629 ◽

2019 ◽

Vol 38 (2) ◽

pp. 343-351

Author(s):

Mario Abundo

Keyword(s):

Brownian Motion ◽

Linear Boundary ◽

First Passage ◽

First Passage Problem

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Calculation of failure level based on inverse first passage problem

2014 Reliability and Maintainability Symposium ◽

10.1109/rams.2014.6798459 ◽

2014 ◽

Cited By ~ 4

Author(s):

Yingjun Deng ◽

Anne Barros ◽

Antoine Grall

Keyword(s):

First Passage ◽

First Passage Problem ◽

Inverse First Passage Problem

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On the first passage problem for correlated Brownian motion

Statistics & Probability Letters ◽

10.1016/j.spl.2009.11.001 ◽

2010 ◽

Vol 80 (5-6) ◽

pp. 277-284 ◽

Cited By ~ 32

Author(s):

Adam Metzler

Keyword(s):

Brownian Motion ◽

First Passage ◽

First Passage Problem

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The inverse first-passage problem and optimal stopping

The Annals of Applied Probability ◽

10.1214/16-aap1172 ◽

2016 ◽

Vol 26 (5) ◽

pp. 3154-3177 ◽

Cited By ~ 2

Author(s):

Erik Ekström ◽

Svante Janson

Keyword(s):

Optimal Stopping ◽

First Passage ◽

First Passage Problem ◽

Inverse First Passage Problem

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