Supremum distribution of Bessel process of drifting Brownian motion

zbMath1333.60175arXiv1501.03200MaRDI QIDQ2787062

Andrzej Pyć, Grzegorz Serafin, Tomasz Żak

Publication date: 24 February 2016

Full work available at URL: https://arxiv.org/abs/1501.03200

zbMATH Keywords

Bessel processtheta functionsupremum distributiondrifting Brownian motion

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65) Diffusion processes (60J60)

Related Items (6)

Fourier-Bessel heat kernel estimates ⋮ Exit time of a hyperbolic \(\alpha\)-stable process from a halfspace or a ball ⋮ Dirichlet heat kernel for the Laplacian in a ball ⋮ On potential theory of hyperbolic Brownian motion with drift ⋮ Exit times densities of the Bessel process ⋮ Independent factorization of the last zero arcsine law for Bessel processes with drift

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