Randomized First Passage Times

Abstract

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 (2009). Specifically, define $\tau_X = \inf\{t>0:W_t + X \le b(t) \}$ where $W_t$ is a standard Brownian motion, then given a boundary function $b:[0,\infty) \to \RR$ and a target measure $\mu$ on $[0,\infty)$, we seek the random variable $X$ such that the law of $\tau_X$ is given by $\mu$. We characterize the solutions, prove uniqueness and existence and provide several key examples associated with the linear boundary.