Higher-Order Regularity of the Free Boundary in the Inverse First-Passage Problem

Xinfu Chen, John Chadam, David Saunders

Consider the inverse first-passage problem: Given a diffusion process $\{{\mathfrak{X}}_t{\}}_{t⩾0}$ on a probability space $(\Omega ,\mathcal{F},\mathbb{P})$ and a survival probabili…