Asymptotic expansions for the first hitting times of bessel processes

• Autorzy: Hamana Yuji , Kaikura Ryo , Shinozaki Kosuke

Identyfikatory

DOI

10.7494/OpMath.2021.41.4.509

• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

Bessel process; hitting time; tail probability; modified Bessel function; asymptotic expansion; Laplace transform

• Wydawca: AGH University of Science and Technology Press
• Czasopismo: Opuscula Mathematica
• Rocznik: 2021
• Tom: Vol. 41, no. 4
• Strony: 509--537
• Opis fizyczny: Bibliogr. 18 poz.

Twórcy

autor

Hamana Yuji

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

autor

Kaikura Ryo

• 1-6-9 Kotohira-honmachi, Kumamoto 860-0814, Japan Kosuke Shinozaki Kosuke

autor

Shinozaki Kosuke

• Leopalace PCOTT205, 2-6-1 Miyauchi, Kawasaki 211-0051, Japan

Bibliografia

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Uwagi

Opracowanie rekordu ze środków MNiSW, umowa Nr 461252 w ramach programu "Społeczna odpowiedzialność nauki" - moduł: Popularyzacja nauki i promocja sportu (2021).