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Existence of solutions to $\alpha(s)=\mathbb P[Y_s>0] + \int_0^s \dot{\alpha}(t)\mathbb P[Y^{t,0}_s>0] dt$
Let $\alpha:\mathbb R_+\to\mathbb R_+$ be a "nice" function with $\alpha(0)=1$. Define the process
$$Y_t=Y_0+t+\int_0^t\frac{dW_u}{1+\alpha(u)},\quad \forall t\ge 0,$$
where $Y_0>0$ has a ...
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