On the evaluation of first-passage-time probability densities via non-singular integral equations

The algorithm given by Buonocore et al. [1] to evaluate first-passage-time p.d.f..s for Wiener and Ornstein.Uhlenbeck processes through a time-dependent boundary is extended to a wide class of time-homogeneous one-dimensional diffusion processes. Several examples are thoroughly discussed along with some computational results.