On the First Time that a 3-D Bessel Bridge Hits a Boundary

DOI10.1080/15326349.2012.726046zbMath1257.37015OpenAlexW1978100381MaRDI QIDQ3145423

Gerardo Hernandez-del-Valle

Publication date: 20 December 2012

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2012.726046

zbMATH Keywords

Bessel processcredit riskfirst hitting timeDoob's \(h\)-transform

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) General theory of stochastic processes (60G07) Dynamical systems and their relations with probability theory and stochastic processes (37A50)

Related Items (1)

Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods

Cites Work

• Boundary-crossing identities for diffusions having the time-inversion property
• On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes
• On hitting times, Bessel bridges and Schrödinger's equation
• K-Sample Analogues of the Kolmogorov-Smirnov and Cramer-V. Mises Tests
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