Hitting time for Bessel processes-walk on moving spheres algorithm (WoMS) (Q389064)

Based on coupling the ingredients of the method of image developed by \textit{H. R. Lerche} [Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis. Lecture Notes in Statistics, 40. Berlin etc.: Springer-Verlag (1986; Zbl 0604.62075)] and the connection between the Bessel process and the Brownian motion, the authors give an explicit expression of the law of the hitting time of the Bessel process at some particular moving boundary. This approach aims to a better simulation of these hitting time and hitting place. A numerical study is also shown.