Abstract
We present explicit estimates of right and left tails and exact (up to universal, multiplicative constants) estimates of tails and moments of hitting times of Bessel processes. The latter estimates are obtained from more general estimates of moments and tails established for convolutions of elementary mixtures of exponential distributions.
Funding Statement
The research of both authors was funded by the National Science Centre, Poland, under Grant No. 2019/35/B/ST1/04292.
Citation
Witold M. Bednorz. RafaŁ M. Łochowski. "Moments and tails of hitting times of Bessel processes and convolutions of elementary mixtures of exponential distributions." Bernoulli 29 (3) 2219 - 2246, August 2023. https://doi.org/10.3150/22-BEJ1539
