Author

Y. Kitapbayev

1 paper indexed here

We haven’t gathered this author’s papers yet. Follow them and we’ll fetch their work.

Not the right person? Other researchers publish under this name.

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