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math.PR2026
On the First Hitting Time Problems for Diffusion Processes: Local Time-Space Approach
Jerome Detemple, Yerkin Kitapbayev, Danila Shabalin
Using the local time-space calculus of Peskir (2005) and the method developed in Mijatovic (2010), we derive a new integral representation for the backward probability associated w…
math.PR2015
Integral equations for Rost's reversed barriers: existence and uniqueness results
Tiziano De Angelis, Yerkin Kitapbayev
We establish that the boundaries of the so-called Rost's reversed barrier are the unique couple of left-continuous monotonic functions solving a suitable system of nonlinear integr…