Exit times densities of the Bessel process

DOI10.1090/proc/13419zbMath1374.60154arXiv1505.07551OpenAlexW2963077356MaRDI QIDQ2980835

Grzegorz Serafin

Publication date: 4 May 2017

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.07551

zbMATH Keywords

asymptoticsBessel processBrownian motionballsharp estimateexit time density

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60)

Related Items (8)

Feeling boundary by Brownian motion in a ball ⋮ Dirichlet heat kernel for the Laplacian in a ball ⋮ On the path integral formulation of Wigner–Dunkl quantum mechanics ⋮ Moments and tails of hitting times of Bessel processes and convolutions of elementary mixtures of exponential distributions ⋮ On optimal uniform approximation of Lévy processes on Banach spaces with finite variation processes ⋮ Maximal displacement and population growth for branching Brownian motions ⋮ Asymptotic behaviour of the Bessel heat kernels ⋮ On the duration of stays of Brownian motion in domains in Euclidean space

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Fourier-Bessel heat kernel estimates
• Non-symmetric hitting distributions on the hyperbolic half-plane and subordinated perpetuities
• Classical diffusion processes and total positivity
• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• A survey and some generalizations of Bessel processes
• Hitting times of Bessel processes
• Sharp estimates of transition probability density for Bessel process in half-line
• Supremum distribution of Bessel process of drifting Brownian motion
• The probability distributions of the first hitting times of Bessel processes
• The probability densities of the first hitting times of Bessel processes
• Heat kernel estimates for the Bessel differential operator in half-line
• Eigenvalue expansions for diffusion hitting times
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• Hitting distributions of geometric Brownian motion
• Asymptotics of the densities of the first passage time distributions for Bessel diffusions
• Bounds for modified Bessel functions
• Exponential functionals of Brownian motion and related processes

This page was built for publication: Exit times densities of the Bessel process