The probability densities of the first hitting times of Bessel processes

zbMATH Open1302.60063arXiv1206.2120MaRDI QIDQ2935592FDOQ2935592

Authors: Yuji Hamana, Hiroyuki Matsumoto 

Publication date: 30 December 2014

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.

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

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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)

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