An approximation for the inverse first passage time problem

Journal Article (Journal Article)

We propose an approximation for the inverse first passage time problem. It is similar in spirit and method to the tangent approximation for the original first passage time problem. We provide evidence that the technique is quite accurate in many cases. We also identify some cases where the approximation performs poorly. © Applied Probability Trust 2011.

Full Text

Duke Authors

Cited Authors

  • Song, JS; Zipkin, P

Published Date

  • March 1, 2011

Published In

Volume / Issue

  • 43 / 1

Start / End Page

  • 264 - 275

International Standard Serial Number (ISSN)

  • 0001-8678

Digital Object Identifier (DOI)

  • 10.1239/aap/1300198522

Citation Source

  • Scopus