The probability densities of the first hitting times of Bessel processes

Abstract

We are concerned with the first hitting times of the Bessel processes. We give explicit expressions for the densities by means of the zeros of the Bessel functions and show their asymptotic behavior.

arXiv comment9 pages

Cited by in corpus (2)

• Asymptotics of the probability distributions of the first hitting times of Bessel processes
• Asymptotics of the densities of the first passage time distributions for Bessel diffusions