The probability densities of the first hitting times of Bessel processes
Probability
2013-07-25 v2
Abstract
We are concerned with the first hitting times of the Bessel processes. We give explicit expressions for the densities by means of the zeros of the Bessel functions and show their asymptotic behavior.
Keywords
Cite
@article{arxiv.1206.2120,
title = {The probability densities of the first hitting times of Bessel processes},
author = {Yuji Hamana and Hiroyuki Matsumoto},
journal= {arXiv preprint arXiv:1206.2120},
year = {2013}
}
Comments
9 pages