The Inverse First-passage Time Problem as Hydrodynamic Limit of a Particle System

Alexander Klump ()
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Alexander Klump: Paderborn University

Methodology and Computing in Applied Probability, 2023, vol. 25, issue 1, 1-29

Abstract: Abstract We study a particle system without branching but with selection at timepoints depending on a given probability distribution on the positive real line. The hydrodynamic limit of the particle system is identified as the distribution of a Brownian motion conditioned to not having passed the solution of the so-called inverse first-passage time problem. As application we extract a Monte-Carlo method to simulate solutions of the inverse first-passage time problem.

Keywords: Inverse first-passage time problem; hydrodynamic limit; Boundary crossing problem; Brownian motion; Particle system; 60J65; 60G40; 82C22 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s11009-023-10020-7

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