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 …

The first-passage-time pdf through a time-dependent boundary for one-dimensional
diffusion processes is proved to satisfy a new Volterra integral equation of the second kind …

A procedure is indicated to estimate first-passage-time pdf's through varying boundaries for
a class of diffusion processes that can be transformed into the Wiener process by rather …

We prove that for a diffusion process the first-passage-time pdf through a continuous-time
function with bounded derivative satisfies a Volterra integral equation of the second kind …

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 a Volterra integral equation of the second kind, including two arbitrary
continuous functions, in order to determine first-passage-time probability density functions …

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 …

The asymptotic behavior of the first-passage-time pdf through a constant boundary is studied
when the boundary approaches the endpoints of the diffusion interval. We show that for a …

A detailed study of the asymptotic behavior of the first-passage-time pdf and its moments is
carried out for an unrestricted conditional Ornstein-Uhlenbeck process and for a constant …

Special symmetry conditions on the transition pdf of one-dimensional time-homogeneous
diffusion processes with natural boundaries are investigated and exploited to derive closed …