Analysis of an inverse first passage problem from risk management

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Bibliographic Details
Published inSIAM journal on mathematical analysis Vol. 38; no. 3; pp. 845 - 873
Main Authors LAN CHENG, XINFU CHEN, CHADAM, John, SAUNDERS, David
Format Journal Article
LanguageEnglish
Published Philadelphia, PA Society for Industrial and Applied Mathematics 2007
Subjects
Exact sciences and technology
Integral equations
Mathematical analysis
Mathematics
Partial differential equations
Probability and statistics
Probability theory and stochastic processes
Sciences and techniques of general use
Stochastic processes
Solution uniqueness
35D05
Lower bound
Finance
60G40
inverse problem 34A55
Probability distribution
Management
Free boundary problem
Inverse problem
45G10
Upper bound
Viscosity solution
Diffusion process
First passage time
Integral equation
boundary crossing
first passage problem
mathematical finance
Boundary integral equations
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ISSN:0036-1410
1095-7154