For the Wiener, Ornstein–Uhlenbeck, and Feller processes, we study the transition
probability density functions with an absorbing boundary in the zero state. Particular …

We consider the first-passage time problem for the Feller-type diffusion process, having
infinitesimal drift B 1 (x, t)= α (t) x+ β (t) and infinitesimal variance B 2 (x, t)= 2 r (t) x, defined …

Making use of the integral equations given in [1],[2] and [3], the asymptotic behaviour of the
first-passage time (FPT) pdf's through certain time-varying boundaries, including periodic …

In this paper, we study stationary states and mean first passage times (MFPT) of the square
root process of Feller, the GARCH diffusion model. Asymptotic expansions of MFPT around …

The asymptotic behaviour of the first-passage-time pdf through a constant boundary for an
Ornstein–Uhlenbeck process is investigated for large boundaries. It is shown that an …

A comprehensive outline is presented for obtaining the Laplace transforms of the transition
probability density functions and of the first-passage-time densities for one-dimensional time …

We solve the Fokker-Planck equation for the Wiener process with drift in the presence of
elastic boundaries and a fixed start point. An explicit expression is obtained for the first …

The integral equations are exploited to determine the asymptotic behaviour of the first
passage time (FPT) pdf's through certain time-varying boundaries, including periodic …

The survival probability and the first-passage-time statistics are important quantities in
different fields. The Wiener process is the simplest stochastic process with continuous …

The first-passage problem for the one-dimensional Wiener process with drift in the presence
of elastic boundaries is considered. We use the Kolmogorov backward equation with …