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JMI2012B-2 The probability densities of the first hitting times of Bessel processes (pp.91-95)

Author(s): Yuji Hamana and Hiroyuki Matsumoto

J. Math-for-Ind. 4B (2012) 91-95.

We are concerned with the first hitting times of the Bessel processes. We give explicit expressions for the densities by means of the zeros of the Bessel functions and show their asymptotic behavior.

Keyword(s).  Bessel process, first hitting time, Bessel functions