Opuscula Mathematica (Jul 2021)

Asymptotic expansions for the first hitting times of Bessel processes

  • Yuji Hamana,
  • Ryo Kaikura,
  • Kosuke Shinozaki

DOI
https://doi.org/10.7494/OpMath.2021.41.4.509
Journal volume & issue
Vol. 41, no. 4
pp. 509 – 537

Abstract

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We study a precise asymptotic behavior of the tail probability of the first hitting time of the Bessel process. We deduce the order of the third term and decide the explicit form of its coefficient.

Keywords