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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 1997 Volume 244, Pages 302–314 (Mi znsl528)

Inverse first exit problem for Wiener process

B. P. Harlamov

Institute of Problems of Mechanical Engineering, Russian Academy of Sciences

Abstract: An inverse first exit problem for Wiener process is considered. This problem is to find such a ragion $G\colon(0,0)\in G\cup\partial G\subset R_+\times R$ that a distribution of the first exit point from it has a priory given property. For to estimate of this region with the uniform distribution of the first exit point a theorem on comparing of densities and a theorem on moment characterization are used. When the uniform density tends to zero and to infinity two asymptotics are investigated.

UDC: 519.2

Received: 05.11.1997


 English version:
Journal of Mathematical Sciences (New York), 2000, 99:2, 1201–1208

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