Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk

M. H. A. Davis, M. R. Pistorius

For a given Markov process $X$ and survival function $\overline{H}$ on ${\mathbb{R}}^{+}$, the inverse first-passage time problem (IFPT) is to find a barrier function $b:\mathbb{R}^+\t…