12 citations · 16 across the 3 of their papers we have counts for
3 papers
The Generalized Shiryaev's Problem and Skorohod Embedding
Sebastian Jaimungal, Alexander Kreinin, Angel Valov
In this paper we consider a connection between the famous Skorohod embedding problem and the Shiryaev inverse problem for the first hitting time distribution of a Brownian motion:…
Randomized First Passage Times
Sebastian Jaimungal, Alex Kreinin, Angelo Valov
In this article we study a problem related to the first passage and inverse first passage time problems for Brownian motions originally formulated by Jackson, Kreinin and Zhang (20…
Integral Equations and the First Passage Time of Brownian Motions
Sebastian Jaimungal, Alex Kreinin, Angelo Valov
The first passage time problem for Brownian motions hitting a barrier has been extensively studied in the literature. In particular, many incarnations of integral equations which l…