The probability densities of the first hitting times of Bessel processes

MaRDI QIDQ2935592zbMATH OpenFDO

Authors Yuji Hamana, Hiroyuki Matsumoto

Publication date 30 December 2014

Full work available at URL https://arxiv.org/abs/1206.2120

zbMATH Keywords

Bessel functionsfirst hitting timeBessel process

Mathematics Subject Classification ID

General second-order stochastic processes (60G12) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10)

Abstract: We are concerned with the first hitting times of the Bessel processes. We give explicit expressions for the densities by means of the zeros of the Bessel functions and show their asymptotic behavior.

Recommendations

• The probability distributions of the first hitting times of Bessel processes
• Asymptotics of the probability distributions of the first hitting times of Bessel processes
• Asymptotic expansions for the first hitting times of Bessel processes
• Hitting times of Bessel processes
• First hitting time for Bessel processes

Cited in

(27)

• Volterra integral equations of the first kind and applications to linear diffusions
• Hitting times to spheres of Brownian motions with drifts starting from the origin
• Density of space-time distribution of Brownian first hitting of a disc and a ball
• Precise asymptotic formulae for the first hitting times of Bessel processes
• Asymptotics of the densities of the first passage time distributions for Bessel diffusions
• A survey and some generalizations of Bessel processes
• Changes of measure and representations of the first hitting time of a Bessel process
• scientific article; zbMATH DE number 37986 (Why is no real title available?)
• First hitting time of the boundary of a wedge of angle \(\pi/4\) by a radial Dunkl process
• The first exit time for a Bessel process from the minimum and maximum random domains
• On the zeros of the Macdonald functions
• Hitting times to spheres of Brownian motions with and without drifts
• Hitting times of hyperbolic Bessel processes
• First hitting time for Bessel processes
• The probability distributions of the first hitting times of Bessel processes
• Sharp estimates of transition probability density for Bessel process in half-line
• Moments and tails of hitting times of Bessel processes and convolutions of elementary mixtures of exponential distributions
• Hitting times of Bessel processes
• On functionals of excursions for Bessel processes with negative index
• scientific article; zbMATH DE number 1109779 (Why is no real title available?)
• Asymptotic expansions for the first hitting times of Bessel processes
• Hitting times of Bessel processes, volume of the Wiener sausages and zeros of Macdonald functions
• Asymptotics of the probability distributions of the first hitting times of Bessel processes
• Invariance formulas for stopping times of squared Bessel process
• Square-root boundaries for Bessel processes and the hitting times of radial Ornstein-Uhlenbeck processes
• Exit times densities of the Bessel process
• The logarithmic concavity of modified Bessel functions of the first kind and its related functions

This page was built for publication: The probability densities of the first hitting times of Bessel processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2935592)