Exit times densities of the Bessel process

Serafin, Grzegorz

doi:10.1090/proc/13419

Exit times densities of the Bessel process
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Proc. Amer. Math. Soc. 145 (2017), 3165-3178 Request permission

Abstract:

We examine the density functions of the first exit times of the Bessel process from the intervals $[0,1)$ and $(0,1)$. First, we express them by means of the transition density function of the killed process. Using that relationship we provide precise estimates and asymptotics of the exit time densities. In particular, the results hold for the first exit time of the $n$-dimensional Brownian motion from a ball.

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