A pursuit problem for squared Bessel processes

DOI10.1051/PS/2025014MaRDI QIDQ6842278zbMATH OpenFDO

Authors Christophe Profeta

Publication date 19 March 2026

Published in European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1051/PS/2025014

zbMATH Keywords

Bessel processfirst passage timepersistence probability

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Cites work

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• Capture time of Brownian pursuits
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• On transient Bessel processes and planar Brownian motion reflected at their future infima
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• Table of integrals, series, and products. Translated from the Russian. Translation edited and with a preface by Alan Jeffrey and Daniel Zwillinger. With one CD-ROM (Windows, Macintosh and UNIX)

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