In an article i recently read (The American Put Option and Its Critical Stock Price by David S. Bunch and Herb Johnson) the authors presented this formula as something very general and as common knowledge
$$P = \mathop {\max }\limits_{{S_c}} \int\limits_0^T {{e^{ - rt}}(X - S_c)} fdt,\quad (S > {S_C})$$
where P, r, T, X, and Sc are the American put price, risk-free rate,
time to maturity, exercise price, and critical stock price,
respectively.Let S be the current stock price (at time t= 0).f,
is the first-passage probability,
However i cant recall that i have seen this formula AND f in the same formula, what am I missing? Where did this formula come from? How would one go about if one needs to derive this formula? Is there a similar formula ?