Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process

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On the conditional default probability in a regulated market: a structural approach (2011, methodology): “JY10000970002). yWe apply proposition 2.1 of Alili et al. (2005) to calculate the CSPs via the inverse Laplace transform.”
On the excursion theory for linear diffusions (2006, background): “For arbitrary y the distribution is very complicated; for explicit expressions via series expansions, see Ricciardi and Sato [44], Linetsky [32] and Alili, Patie and Pedersen [1].”
Systemic Risk Illustrated (2014, background): “Note that the distributions of hitting times for OU processes have been studied in [1].”
Exit times for a class of piecewise exponential Markov processes with two-sided jumps (2007, unknown): “[1].”
Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit (2014, unknown): “2.1 of Alili et al. (2005)): F (x) ≡ F (x; r) := ∫ ∞ 0 u r µ −1 e √ 2µ σ2 (x−θ)u−u 2 2 du, (3.3) G(x) ≡ G(x; r) := ∫ ∞ 0 u r µ −1 e √ 2µ σ2 (θ−x)u−u 2 2 du.”