Author

D. Shabalin

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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