The first-passage time τ S (x) of a one-dimensional continuous stochastic process X (t),
starting from x≤ S (0), through a smooth boundary S (t) is investigated; in particular …

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 …

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 …

We find the first-passage probability that X (t) remains above a level a throughout a time
interval of length T given X (0)= x0 for the particular stationary Gaussian process X with …

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 …

Let dY (t)= Z (t) dt, where Z (t) is a one-dimensional diffusion process, and X (t)= X (0) eY (t)−
Y (0). We denote by T (x, z) the first time the two-dimensional process (X (t), Z (t)) leaves a …

It is studied the first-passage time (FPT) of a time homogeneous one-dimensional diffusion,
driven by the stochastic differential equation dX (t)= μ (X (t)) dt+ σ (X (t)) dB t, X (0)= x 0 …

Abstract Let ${\mathrm {d}} X (t)=-Y (t)\,{\mathrm {d}} t $, where Y (t) is a one-dimensional
diffusion process, and let $\tau (x, y) $ be the first time the process (X (t), Y (t)), starting from …

Let B=(B_t)_t\g0 be standard Brownian motion started at 0 under P, let S_t=0\lr\ltB_r be the
maximum process associated with B, and let g:\bfR_+→\bfR be a (strictly) monotone …

A NOTE ON DURBIN'S FORMULA FOR THE FIRST-PASSAGE DENSITY fT(t) = lim(t- s)-IE(l(s,
y)(a(s) - y(s)) lY(t ) = a(t))L.,,)(a(t)), Page 1 Statistics & Probability Letters 5 (1987) 425-428 …