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An approximation for the inverse first passage time problem
Part of
Jing-Sheng Song, Paul Zipkin
Journal:

Advances in Applied Probability / Volume 43 / Issue 1 / March 2011

Published online by Cambridge University Press:

01 July 2016, pp. 264-275

Print publication:

March 2011
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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.

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An approximation for the inverse first passage time problem