The algorithm given by Buonocore et al.[1] to evaluate first-passage-time pdf's for Wiener
and Ornstein–Uhlenbeck processes through a time-dependent boundary is extended to a …

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 …

In one-dimensional systems, the dynamics of a Brownian particle are governed by the force
derived from a potential as well as by diffusion properties. In this work, we obtain the first …

зиж иК We introduce two numerical methods to determine the shape of a time dependent
boundary for the Ornstein-Uhlenbeck process that corresponds to an assigned first passage …

We revisit an inverse first-passage time (IFPT) problem, in the cases of fractional Brownian
motion, and time-changed Brownian motion. Let X (t) be a one dimensional continuous …

Time-nonhomogeneous diffusion processes confined by a time dependent reflecting
boundary are investigated to obtain a system of integral equations concerning the transition …

Many problems in physics, biology, and economics depend upon the duration of time
required for a diffusing particle to cross a boundary. As such, calculations of the distribution …

We derive the first-passage-time statistics of a Brownian motion driven by an exponential
time-dependent drift up to a threshold. This process corresponds to the signal integration in …

In order to determine the mean first-passage time for systems driven by a superposition of
suitably scaled independent dichotomous Markovian processes (pre-Gaussian noise), the …

Numerous applications all the way from biology and physics to economics depend on the
density of first crossings over a boundary. Motivated by the lack of general purpose …