The probability distributions of the first hitting times of Bessel processes
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- by Yuji Hamana and Hiroyuki Matsumoto PDF
- Trans. Amer. Math. Soc. 365 (2013), 5237-5257 Request permission
Abstract:
We consider the first hitting times of the Bessel processes. We give explicit expressions for the distribution functions by means of the zeros of the Bessel functions. The resulting formula is simpler and easier to treat than the corresponding results which have already been obtained.References
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Additional Information
- Yuji Hamana
- Affiliation: Department of Mathematics, Kumamoto University, Kurokami 2-39-1, Kumamoto, Japan 860-8555
- MR Author ID: 326929
- Hiroyuki Matsumoto
- Affiliation: Department of Physics and Mathematics, Aoyama Gakuin University, Fuchinobe 5-10-1, Sagamihara, Japan 252-5258
- MR Author ID: 220140
- Received by editor(s): June 30, 2011
- Received by editor(s) in revised form: July 26, 2011, and January 24, 2012
- Published electronically: March 5, 2013
- Additional Notes: The authors were partially supported by the Grant-in-Aid for Scientific Research (C) No. 20540121 and 23540183, Japan Society for the Promotion of Science.
- © Copyright 2013 American Mathematical Society
- Journal: Trans. Amer. Math. Soc. 365 (2013), 5237-5257
- MSC (2010): Primary 60J60; Secondary 33C10, 44A10
- DOI: https://doi.org/10.1090/S0002-9947-2013-05799-6
- MathSciNet review: 3074372