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- W4247090398 abstract "Let X be a one-dimensional strong Markov process with continuous sample paths. Using Volterra-Stieltjes integral equation techniques we investigate Hölder continuity and differentiability of first passage time distributions of X with respect to continuous lower and upper moving boundaries. Under mild assumptions on the transition function of X we prove the existence of a continuous first passage time density to one-sided differentiable moving boundaries and derive a new integral equation for this density. We apply our results to Brownian motion and its nonrandom Markovian transforms, in particular to the Ornstein-Uhlenbeck process." @default.
- W4247090398 created "2022-05-12" @default.
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- W4247090398 date "2002-12-01" @default.
- W4247090398 modified "2023-09-30" @default.
- W4247090398 title "Smoothness of first passage time distributions and a new integral equation for the first passage time density of continuous Markov processes" @default.
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- W4247090398 doi "https://doi.org/10.1017/s0001867800011952" @default.
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