On a generalized integral equation which originates from a problem in diffusion theory (Q914111)

Let \(B_ x(s)\) be a reflecting Brownian motion on (0,\(\infty)\) with \(B_ x(0)=x\). \textit{R. R. London}, \textit{H. P. McKean}, \textit{L. L. G. Rogers} and \textit{D. Williams} [Seminaire de probabilities XVI, Lect. Notes Math. 920, 68-90 (1982; Zbl 0485.60073)] established that, for \(0<x<1\), the probability density \(\Pi(x,y)\) of \(Y^+=B_ x(\tau^+)\) in the sense that \(P^ x(Y^+\in (1+y,1+y+dy))=\Pi (x,y)dy\); satisfies the integral equation. \[ (A)\;\int^{\infty}_{0}(\cosh\theta \cos\theta y+\sinh\theta \sin\theta y)\Pi (x,y)dy=\cosh\theta x,\;\theta >0;\;\tau^+ \] referred to above, is the first time, s, that the sojourn time of \((1,\infty),\) for \(B_ x\) up to time s, exceeds the sojourn time of \([0,1]\) up to time s. A solution to (A) was obtained by ad hoc methods. Later the author [Stochastic mechanics and stochastic processes, Swansea, 1986, Lect. Notes Math. No.1325, 162-166 (1988; Zbl 0646.45009)], used Laplace transform methods to show that the associated integral equation \[ (B)\;\int (\sin(\pi/4+\theta)e^{-\theta y}+\sin (\pi/4-\theta)e^{\theta y})\Pi(x,y)dy = \sqrt{2} \cosh\theta x, \] x, \(\theta\) complex, admits a solution \(\Pi(x,y)\) in convolution form. In the paper under review, for x and \(\theta\) complex, the integral equation \[ \int^{\infty}_{0}(\sin (\alpha \pi +\theta)e^{-\theta y}+\sin (\alpha \pi -\theta)e^{\theta y})\Pi (x,y)dy=\sqrt{2} \cosh \theta x, \] where \(\alpha\) is real, is considered for four cases, viz. \(0<\alpha <1/2\), \(\alpha =0\), \(\alpha =1/2\), \(1/2<\alpha <1\). Note if one chooses \(\alpha =1/4\), one falls back to the equation (B).