Some asymptotic formulae for Bessel process

zbMath1327.60154arXiv1403.0716MaRDI QIDQ3452086

Yuu Hariya

Publication date: 18 November 2015

Full work available at URL: https://arxiv.org/abs/1403.0716

zbMATH Keywords

weak convergenceBessel processfirst hitting timesglobal infimumasymptotic tail probabilitylocal infima

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Diffusion processes (60J60) Large deviations (60F10) Convergence of probability measures (60B10)

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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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