Gazi University Journal of Science, vol.26, no.1, pp.57-62, 2013 (Scopus)
In this paper, we study the first passage time of a diffusion process to a moving boundary. Under some special
conditions we apply a transformation to diffusion process and to the boundary function and then in each case
obtain the first passage time distribution of the original process by the first passage time distribution of
transformed process to transformed boundary. In addition, by applying these transformations to the Ornstein-
Uhlenbeck and Wiener processes the first passage time distributions for the new boundaries are presented as
examples.