A note on Durbin's formula for the first-passage density (Q578742)

Let y be an \({\mathbb{R}}^ n\)-valued, continuously differentiable Gaussian process with \(Ey=0\). Let \(F: {\mathbb{R}}^ n\to {\mathbb{R}}^ n\) be continuously differentiable and one-to-one and let \(z=F\circ y=(z_ 1,...,z_ n).\) The author considers the process \(Y=z_ 1-a\), where a is a continuously differentiable function, and gives an explicit formula for the density function of the time of the first zero-upcrossing of Y. This extends a formula due to \textit{J. Durbin} [J. Appl. Probab. 22, 99-122 (1985; Zbl 0576.60029)] to non-Gaussian processes.