Some asymptotic formulae for Bessel process

MaRDI QIDQ3452086zbMATH OpenFDO

Authors Yuu Hariya

Publication date 18 November 2015

Full work available at URL https://arxiv.org/abs/1403.0716

zbMATH Keywords

asymptotic tail probabilityBessel processfirst hitting timesglobal infimumlocal infimaweak convergence

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Central limit and other weak theorems (60F05) Large deviations (60F10) Extreme value theory; extremal stochastic processes (60G70) Diffusion processes (60J60)

Abstract: We recover in part a recent result of Hamana-Matsumoto (2014) on the asymptotic behaviors for tail probabilities of first hitting times of Bessel process. Our proof is based on a weak convergence argument. The same reasoning enables us to derive the asymptotic behaviors for the tail probability of the time at which the global infimum of Bessel process is attained, and for expected values relative to local infima. In addition, we give another proof of the result of Hamana-Matsumoto with improvement of error estimates, which complements in the case of noninteger dimensions the asymptotic formulae by van den Berg (2007) for first hitting times of multidimensional Brownian motion.

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Cited in

(7)

• A new proof of Williams' decomposition of the Bessel process of dimension three with a look at last-hitting times
• Curved boundary crossing of Bessel processes
• Asymptotic expansions for the first hitting times of Bessel processes
• Square-root boundaries for Bessel processes and the hitting times of radial Ornstein-Uhlenbeck processes
• Brownian hitting to spheres
• A pursuit problem for squared Bessel processes
• Asymptotics of the probability distributions of the first hitting times of Bessel processes

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