First Passage Problems for Asymmetric Wiener Processes

@inproceedings{Lefebvre2006FirstPP,
  title={First Passage Problems for Asymmetric Wiener Processes},
  author={M. Lefebvre},
  year={2006}
}
The problem of computing the moment generating function of the first passage time T to a > 0 or −b < 0 for a one-dimensional Wiener process {X(t), t ≥ 0} is generalized by assuming that the infinitesimal parameters of the process may depend on the sign of X(t). The probability that the process is absorbed at a is also computed explicitly, as is the expected value of T . 

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