Explicit solution of an inverse first-passage time problem for L\'{e}vy processes and counterparty credit risk

M. H. A. Davis and M. R. Pistorius

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Abstract: For a given Markov process $X$ and survival function $\overline{H}$ on $\mathbb{R}^+$, the inverse first-passage time problem (IFPT) is to find a barrier function $b:\mathbb{R}^+\to[-\infty,+\infty]$ such that the survival function of the first-passage time $\tau_b=\inf \{t\ge0:X(t)

Date: 2013-06, Revised 2015-09
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Published in Annals of Applied Probability 2015, Vol. 25, No. 5, 2383-2415

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