The probability distributions of the first hitting times of Bessel processes
Probability
2013-07-26 v3
Abstract
We consider the first hitting times of the Bessel processes. We give explicit expressions for the distribution functions and for the densities by means of the zeros of the Bessel functions. The results extend the classical ones and cover all the cases.
Keywords
Cite
@article{arxiv.1106.6132,
title = {The probability distributions of the first hitting times of Bessel processes},
author = {Yuji Hamana and Hiroyuki Matsumoto},
journal= {arXiv preprint arXiv:1106.6132},
year = {2013}
}
Comments
23 pages