Square-root boundaries for Bessel processes and the hitting times of radial Ornstein-Uhlenbeck processes
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 fun...
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| Format: | Article |
| Language: | English |
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AGH Univeristy of Science and Technology Press
2023-03-01
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| Series: | Opuscula Mathematica |
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| Online Access: | https://www.opuscula.agh.edu.pl/vol43/2/art/opuscula_math_4309.pdf |