On an Inverse First-Passage Problem for Jump-Diffusion Processes
Computing the exact mathematical expression for a quantity defined in terms of a first-passage time random variable for a jump-diffusion process is in general very difficult. In this paper, we consider the following inverse problem: can we find a certain distribution for the size of the jumps that l...
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| Natura: | Artigo |
| Lingua: | Inglês |
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MDPI AG
2025-12-01
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| Serie: | Mathematics |
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| Accesso online: | https://www.mdpi.com/2227-7390/14/1/87 |
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