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math.PR2012★ 3 cited
On the first time that an Ito process hits a barrier
Gerardo Hernandez-del-Valle
This work deals with first hitting time densities of Ito processes whose local drift can be modeled in terms of a solution to Burgers equation. In particular, we derive the densiti…
math.PR2009
On the first passage time density of a continuous Martingale over a moving boundary
Gerardo Hernandez-del-Valle
In this paper we derive the density of the first time that a continuous martingale with non-random quadratic variation hits a moving…
math.PR2009
On Schroedinger's equation, 3-dimensional bessel bridges, and passage time problems
Gerardo Hernandez-del-Valle
We obtain explicit solutions for the density of the first-time that a one-dimensional Brownian process reaches the twice, continuously differentiable moving boundary…