THE PROBABILITY DISTRIBUTIONS OF THE FIRST HITTING TIMES OF BESSEL PROCESSES

被引：42

作者：

Hamana, Yuji ^{[1
]}

Matsumoto, Hiroyuki

机构：

[1] Kumamoto Univ, Dept Math, Kumamoto 8608555, Japan

来源：

TRANSACTIONS OF THE AMERICAN MATHEMATICAL SOCIETY | 2013年 / 365卷 / 10期

基金：

日本学术振兴会;

关键词：

Bessel process; first hitting time; Bessel functions; EXPECTED VOLUME;

D O I：

10.1090/S0002-9947-2013-05799-6

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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.

引用

页码：5237 / 5257

页数：21

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