First-passage problems for degenerate two-dimensional diffusion processes (Q1423860)

Let \(Y_t\) be a one-dimensional Itô diffusion process and let \(X_t := \int_0^t Y_s\,ds\). The author studies the process \(Z_t := (X_t,Y_t)\) in the second quadrant of the plane. If \(Y_t\) is a Brownian motion or a particular type of Bessel process, then the probability that \(Z_t\) hits the \(x\)-axis before it hits the \(y\)-axis is explicitly given in terms of incomplete Gamma functions. If \(Y_t\) is a Brownian motion, the mean exit time of \(Z_t\) from the infinite rectangle \(\{(x,y)\mid x<0, 0<d_1 <y<d_2\}\) is calculated and expressed in terms of an eigenfunction expansion by Airy functions.