Sharp barrier estimates for Bessel bridges

Abstract

In this article, we derive precise estimates for the probability that a Bessel bridge of dimension $d\ge 0$ and end points $x$ and $a+bT-j$ stays below the linear barrier $a+bt$ for all $t\in [0,T]$. We identify the leading order term as well as the asymptotic error for this probability as $T\to \infty$, depending on $a,b,j,x$. We also derive the behaviour of such leading term as we allow $a,j\to \infty$, and obtain precise bounds for all error terms. Finally, we establish a complementary result where the linear barrier is perturbed by a small concave function.

12 pages