The Inverse First Passage time problem seeks to determine the boundary corresponding to
a given stochastic process and a fixed first passage time distribution. Here, we determine the …

We consider a bivariate Gauss–Markov process and we study the first passage time of one
component through a constant boundary. We prove that its probability density function is the …

Even for simple diffusion processes, treating first-passage problems analytically proves
intractable for generic barriers and existing numerical methods are inaccurate and …

In order to approximate the exit time of a one-dimensional diffusion process, we propose an
algorithm based on a random walk. Such an algorithm was already introduced in both the …

Motivated by the interest of first passage time problems in neurobiology and in a variety of
applied fields, we study the solution of first passage time equations for the Wiener and the …

For a stochastic process $(X_t) _ {t\geq 0} $ we establish conditions under which the inverse
first-passage time problem has a solution for any random variable $\xi> 0$. For Markov …

In this paper, we study the inverse problem of reconstructing the spatially dependent
transition rate F (x) of a 1D Broadwell process from exit time distributions. In such a process …

Time non-homogeneous Feller-type and Ornstein-Uhlenbeck diffusion processes are
considered for modeling the neuronal activity in the presence of time-varying input signals …

We introduce a unified framework for solving first passage times of time-homogeneous
diffusion processes. Using potential theory and perturbation theory, we are able to deduce …

In order to approximate the exit time of a one-dimensional diffusion process, we propose an
algorithm based on a random walk. Such an algorithm so-called Walk on Moving Spheres …