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An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion
Published online by Cambridge University Press: 04 July 2023
Abstract
We prove existence and uniqueness for the inverse-first-passage time problem for soft-killed Brownian motion using rather elementary methods relying on basic results from probability theory only. We completely avoid the relation to a suitable partial differential equation via a suitable Feynman–Kac representation, which was previously one of the main tools.
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- © The Author(s), 2023. Published by Cambridge University Press on behalf of Applied Probability Trust