ASYMPTOTIC EXPANSIONS FOR THE FIRST HITTING TIMES OF BESSEL PROCESSES

被引：2
|
作者：
Hamana, Yuji [1 ]
Kaikura, Ryo [2 ]
Shinozaki, Kosuke [3 ]
机构：
[1] Univ Tsukuba, Inst Math, 1-1-1 Tennodai, Tsukuba, Ibaraki 3058571, Japan
[2] 1-6-9 Kotohira Honmachi, Kumamoto 8600814, Japan
[3] Leopalace PCOTT205,2-6-1 Miyauchi, Kawasaki, Kanagawa 2110051, Japan
来源：
OPUSCULA MATHEMATICA | 2021年 / 41卷 / 04期
基金：
日本学术振兴会;
关键词：
Bessel process; hitting time; tail probability; modified Bessel function; asymptotic expansion; Laplace transform; PROBABILITY-DISTRIBUTIONS; FORMULAS;
D O I：
10.7494/OpMath.2021.41.4.509
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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.
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页码：509 / 537
页数：29
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