Moments and tails of hitting times of Bessel processes and convolutions of elementary mixtures of exponential distributions

W. M. Bednorz; R. M. Łochowski

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arXiv · 2102.07015

Moments and tails of hitting times of Bessel processes and convolutions of elementary mixtures of exponential distributions

W. M. Bednorz·R. M. Łochowski

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Abstract

We present explicit estimates of right and left tails and exact (up to universal, multiplicative constants) estimates of tails and moments of hitting times of Bessel processes. The latter estimates are obtained from more general estimates of moments and tails established for convolutions of elementary mixtures of exponential distributions.

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W. M. Bednorz, R. M. Łochowski. 2021-02-13. Moments and tails of hitting times of Bessel processes and convolutions of elementary mixtures of exponential distributions. https://arxiv.org/abs/2102.07015

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