Hitting times of Bessel processes (Q1949215)

The authors prove sharp uniform estimates for the density of the first time of hitting the point 1 by the Bessel process with index \(\mu\in\mathbb{R}\) starting from \(x>1\): \[ \begin{aligned} {\operatorname{P}^{(\mu)}_x(T^{(\mu)}_1\in dt)\over dt} &\approx (x-1)\Biggl({1\over 1+ x^{2\mu}}\Biggr)\, {e^{-(x-1)^2/2t}\over t^{3/2}} {x^{2|\mu|-1}\over t^{|\mu|-1/2}+ x^{|\mu|-1/2}},\quad \mu\neq 0,\\ {\operatorname{P}^{(0)}_x(T^{(0)}_1\in dt)\over dt} &\approx (x-1) e^{-(x-1)^2/2t} {(x+ t)^{t/2}\over xt^{3/2}} {1+\log x\over (1+\log(1+{t\over x}))(1+ \log(t+ x))}.\end{aligned} \] As a corollary new sharp estimates for the density of the first time of hitting the unit ball by the \(n\)-dimensional Brownian motion starting from a point outside the ball are obtained.