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On the evaluation of first-passage-time probability densities via non-singular integral equations
V. Giorno, A. G. Nobile, L. M. Ricciardi, S. Sato
Journal:

Advances in Applied Probability / Volume 21 / Issue 1 / March 1989

Published online by Cambridge University Press:

01 July 2016, pp. 20-36

Print publication:

March 1989
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The algorithm given by Buonocore et al. [1] to evaluate first-passage-time p.d.f.’s for Wiener and Ornstein–Uhlenbeck processes through a time-dependent boundary is extended to a wide class of time-homogeneous one-dimensional diffusion processes. Several examples are thoroughly discussed along with some computational results.

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On the evaluation of first-passage-time probability densities via non-singular integral equations