On boundary crossing probabilities for diffusion processes (Q2267542)

The article analyzes crossing of a Lipschitz moving boundary by a scalar diffusion. Assuming an exact asymptotic expression for the conditional probability of the boundary crossing time \(\tau\) exceeding \(t\) conditioned on the position of the diffusion at \(t\), an expression for the density of \(\tau\) is derived. A sufficient condition for the said asymptotics to hold is also provided. The results are extended to the corresponding bridge process conditioned to be at a specified position at a later time. As a further spin-off, the probability of not crossing the boundary in an interval is shown to be Gateaux differentiable in the boundary and an explicit expression for the derivative is obtained.