On Schrödinger's equation, 3-dimensional Bessel bridges, and passage time problems

Details On Schrödinger's equation, 3-dimensional Bessel bridges, and passage time problems On Schrödinger's equation, 3-dimensional Bessel bridges, and passage time problems

2010-05-21

arxiv.org/abs/1005.4098v1

Mathematics

Probability

Scientific paper

In this work we relate the density of the first-passage time of a Wiener
process to a moving boundary with the three dimensional Bessel bridge process
and a solution of the heat equation with a moving boundary. We provide bounds.

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