Asymptotics of the densities of the first passage time distributions for Bessel diffusions

Abstract

This paper concerns the first passage times of Bessel processes to a point on the positive real line. We are interested in the case when the process starts at a position on its right and compute the densities of the distributions of the passage time to obtain the asymptotic forms of them as time tends to infinity that are valid uniformly for the starting position.

arXiv comment25pages, To appear in Trans. Amer. Math. Soc. 367 (2015), no. 4, 2719-2742

References in corpus (1)

• The probability densities of the first hitting times of Bessel processes

Cited by in corpus (1)

• Brownian hitting distributions in space-time of bounded sets and the expected volume of Wiener sausage for Brownian bridges