Asymptotic expansions for the first hitting times of Bessel processes

DOI10.7494/OpMath.2021.41.4.509zbMath1481.60082MaRDI QIDQ5161636

Kosuke Shinozaki, Yuji Hamana, Ryo Kaikura

Publication date: 1 November 2021

Published in: Opuscula Mathematica (Search for Journal in Brave)

zbMATH Keywords

Laplace transformtail probabilityasymptotic expansionBessel processhitting timemodified Bessel function

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Polynomials and rational functions of one complex variable (30C10)

Related Items (1)

Square-root boundaries for Bessel processes and the hitting times of radial Ornstein-Uhlenbeck processes

Cites Work

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• Hitting times of Bessel processes, volume of the Wiener sausages and zeros of Macdonald functions
• Asymptotics of the probability distributions of the first hitting times of Bessel processes
• Some probabilistic properties of Bessel functions
• Precise asymptotic formulae for the first hitting times of Bessel processes
• The probability distributions of the first hitting times of Bessel processes
• The probability densities of the first hitting times of Bessel processes
• Eigenvalue expansions for diffusion hitting times
• Some asymptotic formulae for Bessel process
• Integral Representations and Complete Monotonicity of Various Quotients of Bessel Functions
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Hitting distributions of geometric Brownian motion
• First Passage times and Sojourn Times for Brownian Motion in Space and the Exact Hausdorff Measure of the Sample Path
• Exponential functionals of Brownian motion and related processes

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