Asymptotic expansions for the first hitting times of Bessel processes

Asymptotic expansions for the first hitting times of Bessel processes

We study a precise asymptotic behavior of the tail probability of the first hitting time of the Bessel process. We deduce the order of the third term and decide the explicit form of its coefficient.

Bibliographic Details
Main Authors: Yuji Hamana, Ryo Kaikura, Kosuke Shinozaki
Format: Article
Language:English
Published: AGH Univeristy of Science and Technology Press 2021-07-01
Series:Opuscula Mathematica
Subjects:
bessel process
hitting time
tail probability
modified bessel function
asymptotic expansion
laplace transform
Online Access:https://www.opuscula.agh.edu.pl/vol41/4/art/opuscula_math_4125.pdf

Internet

https://www.opuscula.agh.edu.pl/vol41/4/art/opuscula_math_4125.pdf

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