A new integral equation for the evaluation of first-passage-time probability densities

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Abstract
The first-passage-time p.d.f. through a time-dependent boundary for one-dimensional diffusion processes is proved to satisfy a new Volterra integral equation of the second kind involving two arbitrary continuous functions. Use of this equation is made to prove that for the Wiener and the Ornstein–Uhlenbeck processes the singularity of the kernel can be removed by a suitable choice of these functions. A simple and efficient numerical procedure for the solution of the integral equation is provided and its convergence is briefly discussed. Use of this equation is finally made to obtain closed-form expressions for first-passage-time p.d.f.'s in the case of various time-dependent boundaries.