On the inverse first-passage-time problem for a Wiener process

By Cristina Zucca, Laura Sacerdote. 2009

52 citations recorded by the source corpus.

The inverse first-passage problem for a Wiener process $(W_t)_{t\ge0}$ seeks to determine a function $b{}:{}\mathbb{R}_+\to\mathbb{R}$ such that \[\tau=\inf\{t>0| W_t\ge b(t)\}\] has a given law. In this paper two methods for approximating the unknown function $b$ are presented. The errors of the two methods are studied. A set of examples illustrates the methods. Possible applications are enlighted.

Subfields: Applied Mathematics, Cognitive Neuroscience, Control and Systems Engineering

View Paper: https://www.semanticscholar.org/paper/96c9244a157a36b6e4f1b8b0d3f0c5491ba29285

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Applied Mathematics

1. Maria Teresa Giraudo
2. Laura Sacerdote

In Cognitive Neuroscience

1. Maria Teresa Giraudo
2. Laura Sacerdote

In Control and Systems Engineering

1. Maria Teresa Giraudo
2. Laura Sacerdote

Citations in the corpus

• Stochastic Integrate and Fire Models: a review on mathematical methods and their applications (2011, methodology): “The convergence of this algorithm and an estimate of its error are considered in [139].”