We consider the boundary crossing problem for time-homogeneous diffusions and general
curvilinear boundaries. Bounds are derived for the approximation error of the one-sided …

The paper deals with curvilinear boundary crossing probabilities for time-homogeneous
diffusion processes. First we establish a relationship between the asymptotic form of …

Some problems of first–crossing times over two time–dependent boundaries for one–
dimensional diffusion processes are considered. The moments of the first–crossing times …

The problem of approximating boundary hitting times for diffusion processes, and in
particular Brownian motion, is considered. Using a combination of probabilistic and function …

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 …

Let X (t) be a time-homogeneous one-dimensional diffusion process defined in I⊂ ℝ,
starting at x∈ I and let c∈ I a barrier with c< x. Suppose that, whenever the barrier c is …

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 …

We propose a new approach to calculating the first passage time densities for Brownian
motion crossing piecewise linear boundaries which can be discontinuous. Using this …

The Hazard Rate Tangent Approximation for Boundary Hitting Times Page 1 The Annals of
Applied Probability 1995, Vol. 5, No. 2, 446-460 THE HAZARD RATE TANGENT …

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 …