The probability densities of the first hitting times of Bessel processes. (English) Zbl 1302.60063
Summary: 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.
MSC:
| 60G12 | General second-order stochastic processes |
| 33C10 | Bessel and Airy functions, cylinder functions, \({}_0F_1\) |
