Asymptotics of the probability distributions of the first hitting times of Bessel processes

DOI10.1214/ECP.V19-3215MaRDI QIDQ743078zbMATH OpenOpenAlexFDO

Authors Yuji Hamana, Hiroyuki Matsumoto

Publication date 22 September 2014

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1401.1296

zbMATH Keywords

tail probabilityBessel processesfirst hitting times

Mathematics Subject Classification ID

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

Abstract: The asymptotic behavior of the tail probabilities for the first hitting times of the Bessel process with arbitrary index is shown without using the explicit expressions for the distribution function obtained in the authors' previous works.

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(14)

• Hydrodynamic limit for a \(d\)-dimensional open symmetric exclusion process
• Some asymptotic formulae for Bessel process
• Precise asymptotic formulae for the first hitting times of Bessel processes
• Asymptotics of the densities of the first passage time distributions for Bessel diffusions
• A survey and some generalizations of Bessel processes
• The first exit time for a Bessel process from the minimum and maximum random domains
• Hitting times to spheres of Brownian motions with and without drifts
• The probability distributions of the first hitting times of Bessel processes
• Moments and tails of hitting times of Bessel processes and convolutions of elementary mixtures of exponential distributions
• Brownian hitting to spheres
• Asymptotic expansions for the first hitting times of Bessel processes
• Hitting times of Bessel processes, volume of the Wiener sausages and zeros of Macdonald functions
• The probability densities of the first hitting times of Bessel processes
• Square-root boundaries for Bessel processes and the hitting times of radial Ornstein-Uhlenbeck processes

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