Matches in SemOpenAlex for { <https://semopenalex.org/work/W61996051> ?p ?o ?g. }
Showing items 1 to 73 of
73
with 100 items per page.
- W61996051 abstract "We study the following first passage problem. Given a diffusion process Xt and aprobability distribution q(t) on t &ge 0, does there exist a boundary b(t) such that q(t)=P[&tau &ge t], where &tau is the first hitting time of Xt to the time dependent level b(t). We formulate the inverse first passage time probleminto a free boundary problem for a parabolic partial differential operator and prove there exists a unique viscosity solution to the associated Partial Differential Equation by using the classical penalization technique. In order to compute the free boundary with a given default probability distribution, we investigate the small time behavior of the boundary b(t), presenting both upper and lower bounds first. Then we derive some integral equations characterizing the boundary. Finally we apply Newton-iteration on one of them to compute the boundary. Also we compare our numerical scheme with some other existing ones." @default.
- W61996051 created "2016-06-24" @default.
- W61996051 creator A5052125406 @default.
- W61996051 date "2006-07-07" @default.
- W61996051 modified "2023-09-24" @default.
- W61996051 title "Analysis and numerical solution of an inverse first passage problem from risk management" @default.
- W61996051 cites W1533819021 @default.
- W61996051 cites W310937301 @default.
- W61996051 hasPublicationYear "2006" @default.
- W61996051 type Work @default.
- W61996051 sameAs 61996051 @default.
- W61996051 citedByCount "0" @default.
- W61996051 crossrefType "journal-article" @default.
- W61996051 hasAuthorship W61996051A5052125406 @default.
- W61996051 hasConcept C104317684 @default.
- W61996051 hasConcept C110121322 @default.
- W61996051 hasConcept C134306372 @default.
- W61996051 hasConcept C135252773 @default.
- W61996051 hasConcept C154416045 @default.
- W61996051 hasConcept C158448853 @default.
- W61996051 hasConcept C17020691 @default.
- W61996051 hasConcept C182310444 @default.
- W61996051 hasConcept C185592680 @default.
- W61996051 hasConcept C207467116 @default.
- W61996051 hasConcept C2524010 @default.
- W61996051 hasConcept C33923547 @default.
- W61996051 hasConcept C55493867 @default.
- W61996051 hasConcept C62354387 @default.
- W61996051 hasConcept C86339819 @default.
- W61996051 hasConcept C93779851 @default.
- W61996051 hasConceptScore W61996051C104317684 @default.
- W61996051 hasConceptScore W61996051C110121322 @default.
- W61996051 hasConceptScore W61996051C134306372 @default.
- W61996051 hasConceptScore W61996051C135252773 @default.
- W61996051 hasConceptScore W61996051C154416045 @default.
- W61996051 hasConceptScore W61996051C158448853 @default.
- W61996051 hasConceptScore W61996051C17020691 @default.
- W61996051 hasConceptScore W61996051C182310444 @default.
- W61996051 hasConceptScore W61996051C185592680 @default.
- W61996051 hasConceptScore W61996051C207467116 @default.
- W61996051 hasConceptScore W61996051C2524010 @default.
- W61996051 hasConceptScore W61996051C33923547 @default.
- W61996051 hasConceptScore W61996051C55493867 @default.
- W61996051 hasConceptScore W61996051C62354387 @default.
- W61996051 hasConceptScore W61996051C86339819 @default.
- W61996051 hasConceptScore W61996051C93779851 @default.
- W61996051 hasLocation W619960511 @default.
- W61996051 hasOpenAccess W61996051 @default.
- W61996051 hasPrimaryLocation W619960511 @default.
- W61996051 hasRelatedWork W1527634580 @default.
- W61996051 hasRelatedWork W2002125940 @default.
- W61996051 hasRelatedWork W2010225952 @default.
- W61996051 hasRelatedWork W2019963854 @default.
- W61996051 hasRelatedWork W2054378066 @default.
- W61996051 hasRelatedWork W2055238815 @default.
- W61996051 hasRelatedWork W2061096571 @default.
- W61996051 hasRelatedWork W2185586901 @default.
- W61996051 hasRelatedWork W2266639004 @default.
- W61996051 hasRelatedWork W2273255120 @default.
- W61996051 hasRelatedWork W2346703719 @default.
- W61996051 hasRelatedWork W2347510738 @default.
- W61996051 hasRelatedWork W2767456158 @default.
- W61996051 hasRelatedWork W2802022645 @default.
- W61996051 hasRelatedWork W2804975519 @default.
- W61996051 hasRelatedWork W2924586715 @default.
- W61996051 hasRelatedWork W2951057212 @default.
- W61996051 hasRelatedWork W3123082811 @default.
- W61996051 hasRelatedWork W54862856 @default.
- W61996051 hasRelatedWork W2528945098 @default.
- W61996051 isParatext "false" @default.
- W61996051 isRetracted "false" @default.
- W61996051 magId "61996051" @default.
- W61996051 workType "article" @default.