First hitting time for Bessel processes (Q1068458): Difference between revisions
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| Property / cites work: A generalization of Dynkin's identity and some applications / rank | |||
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| Property / cites work: Lectures on stochastic processes. Notes by K. Muralidhara Rao. Reissued ed / rank | |||
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| Property / cites work: Q3923307 / rank | |||
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Latest revision as of 09:22, 17 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | First hitting time for Bessel processes |
scientific article |
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First hitting time for Bessel processes (English)
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1985
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The author computes by means of the standard and extended Dynkin formulas the first and second moments of the first hitting time of level r of the Bessel process of index \(\alpha (\alpha >0)\).
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Dynkin formulas
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first hitting time
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Bessel process
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