The ruin problem for a Wiener process with state-dependent jumps

Let X ( t ) be a jump-diffusion process whose continuous part is a Wiener process, and let T ( x ) be the first time it leaves the interval (0, b ), where x = X (0). The jumps are negative and their sizes depend on the value of X ( t ). Moreover there can be a jump from X ( t ) to 0. We transform the integro-differential equation satisfied by the probability p ( x ) := P [ X ( T ( x )) = 0] into an ordinary differential equation and we solve this equation explicitly in particular cases. We are also interested in the moment-generating function of T ( x ).