A pursuit problem for squared Bessel processes

Christophe Profeta

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arXiv · 2411.12315

A pursuit problem for squared Bessel processes

Christophe Profeta

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Abstract

In this note, we are interested in the probability that two independent squared Bessel processes do not cross for a long time. We show that this probability has a power decay which is given by the first zero of some hypergeometric function. We also compute along the way the distribution of the location where the crossing eventually occurs.

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Christophe Profeta. 2024-11-19. A pursuit problem for squared Bessel processes. https://arxiv.org/abs/2411.12315

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