First passage time of a Markov chain that converges to Bessel process
type: Item
instance of: scholarly article
title: First passage time of a Markov chain that converges to Bessel process
zbMATH Open document ID: 1470.60205
DOI: 10.1155/2017/7189826
author: Moussa Kounta
published in: Abstract and Applied Analysis
publication date: 2018-08-30T00:00:00Z
review text: Summary: We investigate the probability of the first hitting time of some discrete Markov chain that converges weakly to the Bessel process. Both the probability that the chain will hit a given boundary before the other and the average number of transitions are computed explicitly. Furthermore, we show that the quantities that we obtained tend (with the Euclidian metric) to the corresponding ones for the Bessel process.
Mathematics Subject Classification ID: 60J10
Mathematics Subject Classification ID: 60J60
zbMATH DE Number: 6929563
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2017/7189826
OpenAlex ID: W2772496758
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description: scientific article; zbMATH DE number 6929563