Precise asymptotic formulae for the first hitting times of Bessel processes

DOI10.3836/tjm/1502179246zbMath1419.60037OpenAlexW2769802109MaRDI QIDQ2414076

Hiroyuki Matsumoto, Yuji Hamana

Publication date: 10 May 2019

Published in: Tokyo Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3836/tjm/1502179246

zbMATH Keywords

tail probabilityBessel processhitting time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (2)

Square-root boundaries for Bessel processes and the hitting times of radial Ornstein-Uhlenbeck processes ⋮ Asymptotic expansions for the first hitting times of Bessel processes

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