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arXiv · 1106.6132

The probability distributions of the first hitting times of Bessel processes

Yuji Hamana·Hiroyuki Matsumoto
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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.

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Yuji Hamana, Hiroyuki Matsumoto. 2012-07-04. The probability distributions of the first hitting times of Bessel processes. https://arxiv.org/abs/1106.6132

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