First hitting time for Bessel processes (Q1068458)
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scientific article; zbMATH DE number 3932146
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| English | First hitting time for Bessel processes |
scientific article; zbMATH DE number 3932146 |
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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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0.8740774989128113
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0.8675476312637329
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0.851929247379303
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0.846872866153717
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