A general theory is derived for the moments of the first passage time of a one-dimensional
Markov process in the presence of a weak time-dependent forcing. The linear corrections to …

Gauss–Markov processes restricted from below by special reflecting boundaries are
considered and the transition probability density functions are determined. Furthermore, the …

We propose a discrete-time discrete-space Markov chain approximation with a Brownian
bridge correction for computing curvilinear boundary crossing probabilities of a general …

We consider the first-passage time problem for the Feller-type diffusion process, having
infinitesimal drift B 1 (x, t)= α (t) x+ β (t) and infinitesimal variance B 2 (x, t)= 2 r (t) x, defined …

A time-dependent function, namely the First-Passage-Time Location function, is introduced
in the context of the study of first-passage-times. From this function, a strategy is developed …

In this paper we prove the validity of the Volterra integral equation for the evaluation of first-
passage-time probability densities through varying boundaries, given by Buonocore et al.[1] …

A special class of time-inhomogeneous diffusion processes, generated starting from Gauss–
Markov processes conditioned on the same initial state, is considered. This class includes …

For a general time-inhomogenous diffusion process $ X $ and a boundary function $ g, $ we
analyse the probability $ F (g) $ that $ X $ stays beneath the boundary $ g $ during a given …

A spatial symmetry property of a two-dimensional birth–death process X (t) with constant
rates is exploited in order to obtain closed-form expressions for first-passage-time densities …

Bidimensional processes defined by dx (t)= ρ (x, y) dt and dy (t)= m (x, y) dt+[2v (x, y)] 1/2dW
(t), where W (t) is a Wiener process, are considered. Let T (x, y) be the first time the process …