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 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 …

We consider a Wiener process between a reflecting and an absorbing barrier and derive a
series solution for the transition density of the process and for the density of the time to …

The two-dimensional correlated Wiener process (or Brownian motion) with drift is
considered. The Fokker-Planck (or Kolmogorov forward) equation for the Wiener process …

EVALUATION OF THE FIRST-PASSAGE TIME PROBABILITY TO A SQUARE ROOT BOUNDARY
FOR THE WIENER PROCESS 1. Introduction Page 1 J. Appl. Prob. 14, 850-856 (1977) Printed …

The problem of computing the moment generating function of the first passage time T to a> 0
or− b< 0 for a one-dimensional Wiener process {X (t), t≥ 0} is generalized by assuming that …

We show that the transition pdf of the Ornstein–Uhlenbeck process with a reflection
condition at an assigned state S is related by integral-type equations to the free transition …

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 …

An unbiased estimator is given for the drift of a Wiener process which is observed up to a
stopping time. For first-passage times across a moving boundary the estimator can be …

Durbin has presented a compact formula for the first passage density of a Gaussian process,
which is locally like Brownian motion, to a smooth barrier. In previous work, we have …