The probability distributions of the first hitting times of Bessel processes

Abstract

We consider the first hitting times of the Bessel processes. We give explicit expressions for the distribution functions and for the densities by means of the zeros of the Bessel functions. The results extend the classical ones and cover all the cases.

23 pages

Cited by in corpus (1)

• Hitting time for Bessel processes - walk on moving spheres algorithm (WoMS)