The probability densities of the first hitting times of Bessel processes

Yuji Hamana; Hiroyuki Matsumoto

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arXiv · 1206.2120

The probability densities of the first hitting times of Bessel processes

Yuji Hamana·Hiroyuki Matsumoto

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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.

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Yuji Hamana, Hiroyuki Matsumoto. 2012-07-04. The probability densities of the first hitting times of Bessel processes. https://arxiv.org/abs/1206.2120

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