WORKING PAPER SERIES Firm Migration and Stock Returns
G. Puopolo, Francesco Corielli, George A. Constantinides et al.
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AI Networking Cookbook: Practical recipes for AI-assisted network automation and development
AI Networking Cookbook: Practical recipes for AI-assisted network automation and development
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Preprint
Aug 2026
On the First Hitting Time Problems for Diffusion Processes: Local Time-Space Approach
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 with the first-passage time (FPT) of a diffusion process through a time-dependent barrier. We present a complete three-step numerical algorit...
J. Detemple, Y. Kitapbayev, D. Shabalin
· 1 citation