Article ID: | iaor1999480 |
Country: | United Kingdom |
Volume: | 34 |
Issue: | 3 |
Start Page Number: | 623 |
End Page Number: | 631 |
Publication Date: | Sep 1997 |
Journal: | Journal of Applied Probability |
Authors: | Ricciardi L.M., Gutirrez R., Romn P., Torres F. |
Keywords: | Volterra equations |
In this paper we study a Volterra integral equation of the second kind, including two arbitrary continuous functions, in order to determine first-passage-time probability density functions through time-dependent boundaries for time-non-homogeneous one-dimensional diffusion processes with natural boundaries. These results generalize those which were obtained for time-homogeneous diffusion processes by Giorno