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math.PR2021
Moments and tails of hitting times of Bessel processes and convolutions of elementary mixtures of exponential distributions
W. M. Bednorz, R. M. Łochowski
We present explicit estimates of right and left tails and exact (up to universal, multiplicative constants) estimates of tails and moments of hitting times of Bessel processes. The…
math.PR2021
One-dimensional game-theoretic differential equations
Rafał M. Łochowski, Nicolas Perkowski, David J. Prömel
We provide a very brief introduction to typical paths and the corresponding Itô type integration. Relying on this robust Itô integration, we prove an existence and uniqueness resul…