Similarity solutions of first-passage problems for two-dimensional Wiener processes (Q1126102)

For a two-dimensional drifted Brownian motion with constant drifts, the generating function \(M(x,y)\) of the time of the process hitting a set \(D\) satisfies a Kolmogorov backward equation. All \(D\)'s are identified for \(M(x,y)\) having the form of \(F(x)G(y)\) or \(N(f(x)+ g(y))\).