Uniqueness of the Inverse First-Passage Time Problem and the Shape of the Shiryaev Boundary

Abstract

Given a distribution on the positive extended real line, the two-sided inverse first-passage time problem for Brownian motion asks for a function such that the first passage time of this function by a reflected Brownian motion has the given distribution. We combine the ideas of Ekström and Janson, which were developed within the scope of the one-sided inverse first-passage time problem, with the methods of De Masi et al., which were used in the context of free boundary problems, in order to give a different proof for the uniqueness for the two-sided inverse first-passage time problem by using a stochastic order relation. We provide criteria for qualitative properties of solutions of the inverse first-passage problem, which apply to the boundary corresponding to the exponential distribution.