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 …

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

A time-inhomogeneous Feller-type diffusion process with linear infinitesimal drift α (t) x+ β (t)
α (t) x+ β (t) and linear infinitesimal variance 2 r (t) x is considered. For this process, the …

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 …

We consider the problem of constructing entrance laws for Feller diffusions on the state
space (0,∞). Our method, based on Feller-McKean theory of one-dimensional diffusions …

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 …

We study the limit at zero of the first-passage time density of a one-dimensional diffusion
process over a moving boundary and we also deal with the inverse first-passage time …

Some problems about the asymptotics of the first-passage time of a one-dimensional
diffusion process through a stochastic, as well as deterministic one-sided boundary are …

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 …

One dimensional diffusion processes have been increasingly invoked to model a variety of
biological, physical and engineering systems subject to random fluctuations (cf., for instance …