Exit times densities of Bessel process
Probability
2015-05-29 v1
Abstract
We examine the density functions of the first exit times of the Bessel process from the intervals [0,1) and (0,1). First, we express them by means of the transition density function of the killed process. Using that relationship we provide precise estimates and asymptotics of the exit time densities. In particular, the results hold for the first exit time of the n-dimensional Brownian motion from a ball.
Keywords
Cite
@article{arxiv.1505.07551,
title = {Exit times densities of Bessel process},
author = {Grzegorz Serafin},
journal= {arXiv preprint arXiv:1505.07551},
year = {2015}
}