First Passage Time Densities through H\"older curves

Abstract

We prove that for a standard Brownian motion, there exists a first-passage-time density function through a locally H\"older continuous curve with exponent greater than 1/2. By using a property of local time of a standard Brownian motion and the theories of partial differential equations in Cannon [2], we find a sufficient condition for existence of the density function. We also show that this density function is proportional to the space derivative of the Green function of the heat equation with Dirichlet boundary condition at the moving boundary.