On hitting times, Bessel bridges and Schrödinger's equation (Q2435213)

Let \(B=\{B_t: t\geq 0\}\) be a one-dimensional Brownian motion and let \(f\) be a real-valued function on \([0,\infty)\). Assume that \(f\) has a nonnegative second derivative and the first derivative is square integrable on any finite interval. This paper deals with the density of the hitting time \[ T= \inf\{ t\geq 0 \mid B_t=f(t)\}. \] First, the author remarks that applying the Girsanov transformation, one can represent the probability \(\mathbb{P} (T<t)\) in terms of the \(3\)-dimensional Bessel bridge. More precisely, the formula for \(\mathbb{P} (T<t)\) involves the expectation \[ \mathbb{E}^{t,a} \left[ \exp \left ( -\int_t^s f''(u) X_u du \right) \right], \] where \(X\) is a \(3\)-dimensional Bessel bridge on \([0,1]\) starting at \(X_t=a\). Using Feynman-Kac's formula, it turns out that the above expectation provides a probabilistic representation for the solution of a Cauchy problem. The author shows that the same problem can be represented in terms of two different, but equivalent Schrödinger boundary value problems, which are used to link boundary crossing probabilities with the heat equation. Finally, a fundamental solution to a class of parabolic partial differential equations with linear potential is obtained and its properties are discussed.