Uniqueness of First Passage Time Distributions via Fredholm Integral Equations

Sören Christensen, Simon Fischer, Oskar Hallmann

Let $W$ be a standard Brownian motion with $W_0=0$ and let $b:{\mathbb{R}}_{+}\to \mathbb{R}$ be a continuous function with $b(0)>0$. The first passage time (from below) is then…