One-dimensional reflected diffusions with two boundaries and an inverse first-hitting problem

Abstract

We study an inverse first-hitting problem for a one-dimensional, time-homogeneous diffusion $X(t)$ reflected between two boundaries $a$ and $b,$ which starts from a random position $\eta .$ Let $a\le S\le b$ be a given threshold, such that $P(\eta \in [a,S])=1,$ and $F$ an assigned distribution function. The problem consists of finding the distribution of $\eta$ such that the first-hitting time of $X$ to $S$ has distribution $F.$ This is a generalization of the analogous problem for ordinary diffusions, i.e. without reflecting, previously considered by the author.

References in corpus (1)

• On the inverse first-passage-time problem for a Wiener process