Jackson, Ken; Kreinin, Alexander; Zhang, Wanhe - In: Statistics & Probability Letters 79 (2009) 23, pp. 2422-2428
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)=[mu]t, find a distribution of the initial state such that the distribution of the...