A growing empirical literature on spinoff formation has begun to reveal some striking
regularities about which firms are most likely to spawn spinoffs, when they are most likely to …

The material presented in this manuscript was developed for different applications and
published in many papers which are listed among the references. My colleagues …

We consider an inverse first-passage time (FPT) problem for a homogeneous one-
dimensional diffusion X (t), starting from a random position η. Let S (t) be an assigned …

We present adaptive algorithms for weak approximation of stopped diffusion using the
Monte Carlo Euler method. The goal is to compute an expected value E [g (X (τ), τ)] of a …

Firstly, we compute the distribution function for the hitting time of a linear time-dependent
boundary t↦ a+ bt, a≥ 0, b∈ ℝ, by a reflecting Brownian motion. The main tool hereby is …

Explicit formulas for the first hitting time distributions for a standard Brownian motion and
different regions including rectangular, triangle, quadrilateral and a region with piecewise …

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 an exact simulation scheme for the first hitting time of Brownian motion. Our
method is applicable to expanding boundaries, which are linear or piecewise linear. We first …

Gauss-Markov process starting from y. The first-passage time (FPT) of X through a constant
boundary and the first-exit time of X from an interval (a, b) are investigated, generalizing …

▶ Existence and uniqueness for ξ with no atoms (Chen, Cheng, et al. 2011, free boundary
problem)▶ Uniqueness (Ekström and Janson 2016, optimal stopping problem, see also …