Killed Brownian motion with a prescribed lifetime distribution and models of default

In finance, the default time of a counterparty is sometimes modeled as the
first passage time of a credit index process below a barrier. It is
therefore relevant to consider the following question:
   If we know the distribution of the default time, can we find a unique
barrier which gives this distribution? This is known as the Inverse
First Passage Time (IFPT) problem in the literature.
   We consider a more general `smoothed' version of the inverse first
passage time problem in which the first passage time is replaced by
the first instant that the time spent below the barrier exceeds an
independent exponential random variable. We show that any smooth
distribution results from some unique continuously differentiable
barrier. In current work with B. Ettinger and T. K. Wong, we use PDE
methods to show the uniqueness and existence of solutions to a
discontinuous version of the IFPT problem.