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 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 …

An expression for the first-passage density of Brownian motion to a curved boundary is
expanded as a series of multiple integrals. Bounds are given for the error due to truncation …

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 …

Let p (t) be the density of the first-exit time of a Brownian motion over a one-sided moving
boundary, and let p 1 (t) be the density at t of the first-exit time over the tangent to the …

We propose a new method to obtain the boundary crossing probabilities or the first passage
time distribution for linear and nonlinear boundaries for Brownian motion. The method also …

This paper provides explicit formulae for the probability that an arithmetic or a geometric
Brownian motion will not cross an absorbing boundary defined as a step function during a …

Jt Jt Jt Jt Page 1 J.Appl.Prob. 25, 829-832(1988) Printed in Israel <C> Applied Probability
Trust 1988 A RECONCILIATION OF TWO DIFFERENT EXPRESSIONS FOR THE FIRST-PASSAGE …

Under some weak conditions, the first-passage time of the Brownian motion to a continuous
curved boundary is an almost surely finite stopping time. Its probability density function (pdf) …

This paper presents correction terms to the tangent approximation for the first-exit density of
Brownian motion at distant boundaries. These lead to second-order approximations to the …