First-passage time of a Brownian motion: two unexpected journeys (2306.17656v3)

Abstract: The distribution of the first-passage time (FPT)$T_a$ for a Brownian particle with drift $\mu$ subject to hitting an absorber at a level $a>0$ is well-known and given by its density $\gamma(t) = \frac{a}{\sqrt{2 \pi t^3} } e^{-\frac{(a-\mu t)^2}{2 t}}, t>0$, which is normalized only if $\mu \geq 0$. This article demonstrates the existence of two additional diffusion process categories (one with one parameter and the other with two) that have the same first passage-time distributions when $\mu <0$. For both, we identify the transition densities and thoroughly investigate the processes. A substantial implication is that the first-passage time distribution does not indicate whether the process originates from a drifted Brownian motion or from one of the new processes presented.