The first exit time for a Bessel process from the minimum and maximum random domains

DOI10.1016/J.SPL.2009.07.001zbMATH Open1184.60033OpenAlexW1988731743MaRDI QIDQ734693FDOQ734693

Dawei Lu, Lixin Song, Jinghai Feng

Publication date: 13 October 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.07.001

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zbMATH Keywords

Bessel processstandard Brownian motions

Mathematics Subject Classification ID

Brownian motion (60J65)

Cites Work

• Title not available (Why is that?)
• Some inequalities for Gaussian processes and applications
• First Passage times and Sojourn Times for Brownian Motion in Space and the Exact Hausdorff Measure of the Sample Path
• The first exit time of a Brownian motion from an unbounded convex domain
• ON ESTIMATES AND THE ASYMPTOTIC BEHAVIOR OF NONEXIT PROBABILITIES OF A WIENER PROCESS TO A MOVING BOUNDARY

Cited In (4)

• Persistence and exit times for some additive functionals of skew Bessel processes
• The exit probabilities of Brownian motion with variable dimension applying to the control of population growth
• Some asymptotic formulas of a Brownian motion with regular variation from the maximum and minimum complicated domains
• Some new normal comparison inequalities related to Gordon's inequality

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