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July 2016 Tails of the first hitting times of linear diffusions
Yuji Kasahara
Tsukuba J. Math. 40(1): 55-79 (July 2016). DOI: 10.21099/tkbjm/1474747487

Abstract

The tail probability of the first hitting time is discussed for linear diffusions. We obtain the decay rates in terms of the spectral functions and the scale functions. The result is a generalization of recent results of Hamana-Matsumoto for Bessel processes.

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Yuji Kasahara. "Tails of the first hitting times of linear diffusions." Tsukuba J. Math. 40 (1) 55 - 79, July 2016. https://doi.org/10.21099/tkbjm/1474747487

Information

Received: 16 November 2015; Revised: 13 June 2016; Published: July 2016
First available in Project Euclid: 24 September 2016

zbMATH: 1350.60078
MathSciNet: MR3550932
Digital Object Identifier: 10.21099/tkbjm/1474747487

Subjects:
Primary: 60J60, 60J65

Rights: Copyright © 2016 University of Tsukuba, Institute of Mathematics

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Vol.40 • No. 1 • July 2016
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