Killed Brownian motion with a prescribed lifetime distribution and models of default

Killed Brownian motion with a prescribed lifetime distribution and models of default

Probability Seminar
Sep 28, 2011, 03:00 PM - 04:00 PM | Room 332 Evans Hall | Happening As Scheduled
Alex Hening, UC Berkeley
The classical inverse first passage time problem asks for some distribution on the nonnegative real numbers whether there is a time-varying barrier such that the first time a Brownian motion crosses the barrier has the given distribution. We consider a ``smoothed'' version of this problem in which the first crossing of the barrier is replaced, loosely speaking, by the first instant that the time...