Moments and tails of hitting times of Bessel processes and convolutions of elementary mixtures of exponential distributions

DOI10.3150/22-BEJ1539MaRDI QIDQ6160974OpenAlexFDO

Authors Witold Bednorz, Rafał M. Łochowski

Publication date 2 June 2023

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2102.07015

zbMATH Keywords

momentshitting timesBessel processestailselementary mixtures of exponential distributions

Mathematics Subject Classification ID

Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40)

Abstract: We present explicit estimates of right and left tails and exact (up to universal, multiplicative constants) estimates of tails and moments of hitting times of Bessel processes. The latter estimates are obtained from more general estimates of moments and tails established for convolutions of elementary mixtures of exponential distributions.

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
• Hitting times of Bessel processes
• The probability densities of the first hitting times of Bessel processes
• Asymptotic expansions for the first hitting times of Bessel processes
• Bounds for exponential moments of Bessel processes
• Precise asymptotic formulae for the first hitting times of Bessel processes
• Exponential approximation for hitting times in mixing processes
• First hitting time for Bessel processes
• Changes of measure and representations of the first hitting time of a Bessel process

Cites work

• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• scientific article; zbMATH DE number 2150787 (Why is no real title available?)
• scientific article; zbMATH DE number 3084691 (Why is no real title available?)
• scientific article; zbMATH DE number 3107995 (Why is no real title available?)
• A Series Expansion for the First Positive Zero of the Bessel Functions
• Asymptotic behaviour and estimates of slowly varying convolution semigroups
• Brownian motion. With an appendix by Oded Schramm and Wendelin Werner
• Diffusion hitting times and the bell-shape
• Eigenvalue expansions for diffusion hitting times
• Estimation of moments of sums of independent real random variables
• Exit times densities of the Bessel process
• First Passage times and Sojourn Times for Brownian Motion in Space and the Exact Hausdorff Measure of the Sample Path
• Hitting distributions of geometric Brownian motion
• Hitting time distributions of single points for 1-dimensional generalized diffusion processes
• Hitting times of Bessel processes
• Invariance formulas for stopping times of squared Bessel process
• Poisson kernels of half-spaces in real hyperbolic spaces
• Stopping times of Bessel processes
• Tail and moment estimates for sums of independent random variables with logarithmically concave tails
• The probability densities of the first hitting times of Bessel processes
• The probability distributions of the first hitting times of Bessel processes
• Uniform upper and lower bounds on the zeros of Bessel functions of the first kind
• Unimodality of passage times for one-dimensional strong Markov processes

Cited in

(2)

• scientific article; zbMATH DE number 5166032 (Why is no real title available?)
• Precise asymptotic formulae for the first hitting times of Bessel processes

This page was built for publication: Moments and tails of hitting times of Bessel processes and convolutions of elementary mixtures of exponential distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6160974)