An approximation for the inverse first passage time problem

Citation
Song, Jing-sheng et Zipkin, Paul, An approximation for the inverse first passage time problem, Advances in applied probability , 43(1), 2011, pp. 264-275
ISSN journal
00018678
Volume
43
Issue
1
Year of publication
2011
Pages
264 - 275
Database
ACNP
SICI code
Abstract
We propose an approximation for the inverse first passage time problem. It is similar in spirit and method to the tangent approximation for the original first passage time problem. We provide evidence that the technique is quite accurate in many cases. We also identify some cases where the approximation performs poorly.