Hitting times of Bessel processes, volume of the Wiener sausages and zeros of Macdonald functions

DOI10.2969/jmsj/06841615zbMath1359.33005arXiv1302.4526OpenAlexW1588081024MaRDI QIDQ502098

Yuji Hamana, Hiroyuki Matsumoto

Publication date: 30 December 2016

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

Full work available at URL: https://arxiv.org/abs/1302.4526

zbMATH Keywords

Bessel processWiener sausageMacdonald functionLevy measure

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Stochastic processes (60G99) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10)

Related Items (5)

Lie symmetries methods in boundary crossing problems for diffusion processes ⋮ On the zeros of the Macdonald functions ⋮ A formula for the expected volume of the Wiener sausage with constant drift ⋮ Asymptotic expansions for the first hitting times of Bessel processes ⋮ Sharp estimates of transition probability density for Bessel process in half-line

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