Electronic Communications in Probability

Asymptotics of the probability distributions of the first hitting times of Bessel processes

Yuji Hamana and Hiroyuki Matsumoto

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Abstract

The asymptotic behavior of the tail probabilities for the first hitting times of the Bessel process with arbitrary index is shown without using the explicit expressions for the distribution function obtained in the authors' previous works.

Article information

Source
Electron. Commun. Probab., Volume 19 (2014), paper no. 5, 5 pp.

Dates
Accepted: 30 January 2014
First available in Project Euclid: 7 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465316707

Digital Object Identifier
doi:10.1214/ECP.v19-3215

Mathematical Reviews number (MathSciNet)
MR3164752

Zentralblatt MATH identifier
1309.60040

Subjects
Primary: 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60]

Keywords
Bessel process hitting time tail probability

Rights
This work is licensed under a Creative Commons Attribution 3.0 License.

Citation

Hamana, Yuji; Matsumoto, Hiroyuki. Asymptotics of the probability distributions of the first hitting times of Bessel processes. Electron. Commun. Probab. 19 (2014), paper no. 5, 5 pp. doi:10.1214/ECP.v19-3215. https://projecteuclid.org/euclid.ecp/1465316707


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References

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