On Schr\"odinger's equation, 3-dimensional Bessel bridges, and passage time problems
Probability
2015-06-03 v1
Abstract
In this work we relate the density of the first-passage time of a Wiener process to a moving boundary with the three dimensional Bessel bridge process and a solution of the heat equation with a moving boundary. We provide bounds.
Keywords
Cite
@article{arxiv.1005.4098,
title = {On Schr\"odinger's equation, 3-dimensional Bessel bridges, and passage time problems},
author = {Gerardo Hernandez-del-Valle},
journal= {arXiv preprint arXiv:1005.4098},
year = {2015}
}