Square-root boundaries for Bessel processes and the hitting times of radial Ornstein-Uhlenbeck processes

• Autorzy: Hamana Yuji

Identyfikatory

DOI

10.7494/OpMath.2023.43.2.145

• Języki publikacji: EN

Abstrakty

EN

This article deals with the first hitting times of a Bessel process to a square-root boundary. We obtain the explicit form of the distribution function of the hitting time by means of zeros of the confluent hypergeometric function with respect to the first parameter. In deducing the distribution function, the time that a radial Ornstein-Uhlenbeck process reaches a certain point is very useful and plays an important role. We also give its distribution function in the case that the starting point is closer to the origin than the arrival site.

Słowa kluczowe

EN

Bessel process; confluent hypergeometric function; first hitting time; radial Ornstein-Uhlenbeck process; square-root boundary

• Wydawca: AGH University of Science and Technology Press
• Czasopismo: Opuscula Mathematica
• Rocznik: 2023
• Tom: Vol. 43, no. 2
• Strony: 145--172
• Opis fizyczny: Bibliogr. 30 poz.

Twórcy

autor

Hamana Yuji

• University of Tsukuba, Department of Mathematics, 1-1-1 Tennodai, Tsukuba 305-8571, Japan

• https://orcid.org/0000-0002-9997-3114

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Uwagi

Opracowanie rekordu ze środków MEiN, umowa nr SONP/SP/546092/2022 w ramach programu "Społeczna odpowiedzialność nauki" - moduł: Popularyzacja nauki i promocja sportu (2022-2023)