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

TL;DR

This paper investigates an inverse first-hitting problem for a one-dimensional reflected diffusion process, aiming to determine the initial distribution that results in a specified hitting time distribution, extending previous work on non-reflected diffusions.

Contribution

It extends the inverse first-hitting problem to reflected diffusions between two boundaries, providing new insights into the initial distribution characterization.

Findings

Derived conditions for the initial distribution to produce a given hitting time distribution.

Generalized previous results from non-reflected to reflected diffusion processes.

Established a framework for solving inverse problems in reflected diffusion settings.

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.