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

DOI10.3150/22-BEJ1539arXiv2102.07015OpenAlexW3161748271MaRDI QIDQ6160974FDOQ6160974

Authors: Witold Bednorz, Rafał M. Łochowski 

Publication date: 2 June 2023

Published in: Bernoulli (Search for Journal in Brave)

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.

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

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zbMATH Keywords

momentshitting timesBessel processestailselementary mixtures of exponential distributions

Mathematics Subject Classification ID

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

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Cited In (2)

• Title not available (Why is that?)
• Precise asymptotic formulae for the first hitting times of Bessel processes

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