Small-t expansion for the Hartman-Watson distribution

Abstract: The Hartman-Watson distribution with density

f_{r} (t)

is a probability distribution defined on

t g e q 0

which appears in several problems of applied probability. The density of this distribution is expressed in terms of an integral

h e t a (r, t)

which is difficult to evaluate numerically for small

t o 0

. Using saddle point methods, we obtain the first two terms of the

t o 0

expansion of

h e t a (h o / t, t)

at fixed

h o > 0

. An error bound is obtained by numerical estimates of the integrand, which is furthermore uniform in

h o

. As an application we obtain the leading asymptotics of the density of the time average of the geometric Brownian motion as

t o 0

. This has the form

m a t h b b P (f r a c 1 t i n t_{0}^{t} e^{2 (B_{s} + m u s)} d s i n d a) = (2 p i t)^{- 1 / 2} g (a, m u) e^{- f r a c 1 t J (a)} (1 + O (t))

, with an exponent

J (a)

which reproduces the known result obtained previously using Large Deviations theory.

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