First-passage and first-exit times of a Bessel-like stochastic process

Details First-passage and first-exit times of a Bessel-like stochastic process First-passage and first-exit times of a Bessel-like stochastic process

2010-07-26

arxiv.org/abs/1007.4588v1

Physics

Condensed Matter

Statistical Mechanics

15 pages, 6 figures, submitted to Physical Review E

Scientific paper

We study a stochastic process $X_t$ related to the Bessel and the Rayleigh processes, with various applications in physics, chemistry, biology, economics, finance and other fields. The stochastic differential equation is $dX_t = (nD/X_t) dt + \sqrt{2D} dW_t$, where $W_t$ is the Wiener process. Due to the singularity of the drift term for $X_t = 0$, different natures of boundary at the origin arise depending on the real parameter $n$: entrance, exit, and regular. For each of them we calculate analytically and numerically the probability density functions of first-passage times or first-exit times. Nontrivial behaviour is observed in the case of a regular boundary.

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