Asymptotics of the densities of the first passage time distributions for Bessel diffusions

DOI10.1090/S0002-9947-2014-06155-2MaRDI QIDQ5496676zbMATH OpenOpenAlexFDO

Authors Kohei Uchiyama

Publication date 2 February 2015

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1208.6071

zbMATH Keywords

Bessel diffusionsdensity asymptoticsfirst passage times

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65)

Abstract: This paper concerns the first passage times of Bessel processes to a point on the positive real line. We are interested in the case when the process starts at a position on its right and compute the densities of the distributions of the passage time to obtain the asymptotic forms of them as time tends to infinity that are valid uniformly for the starting position.

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Cited in

(11)

• On the asymptotic behaviour of first passage times for diffusions
• The transition density of Brownian motion killed on a bounded set
• Asymptotic behaviour of the Bessel heat kernels
• Sharp estimates of transition probability density for Bessel process in half-line
• Precise asymptotic formulae for the first hitting times of Bessel processes
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• Exit times densities of the Bessel process
• scientific article; zbMATH DE number 816111 (Why is no real title available?)
• Asymptotics for diffusion first-passage laws

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