English

Sharp barrier estimates for Bessel bridges

Probability 2025-11-18 v1

Abstract

In this article, we derive precise estimates for the probability that a Bessel bridge of dimension d0d \ge 0 and end points xx and a+bTja+bT-j stays below the linear barrier a+bta + bt for all t[0,T]t \in [0,T]. We identify the leading order term as well as the asymptotic error for this probability as TT\to \infty, depending on a,b,j,xa,b,j,x. We also derive the behaviour of such leading term as we allow a,ja,j\to \infty, and obtain precise bounds for all error terms. Finally, we establish a complementary result where the linear barrier is perturbed by a small concave function.

Cite

@article{arxiv.2511.13416,
  title  = {Sharp barrier estimates for Bessel bridges},
  author = {Leandro Chiarini and Ellen Powell},
  journal= {arXiv preprint arXiv:2511.13416},
  year   = {2025}
}

Comments

12 pages

R2 v1 2026-07-01T07:41:13.552Z