The probability distributions of the first hitting times of Bessel processes

Details The probability distributions of the first hitting times of Bessel processes The probability distributions of the first hitting times of Bessel processes

2011-06-30

arxiv.org/abs/1106.6132v2

Mathematics

Probability

35 pages

Scientific paper

We consider the first hitting times of the Bessel processes. We give explicit
expressions for the distribution functions and for the densities by means of
the zeros of the Bessel functions. The results extend the classical ones and
cover all the cases.

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