Hitting Times of Bessel Processes
Hitting Times of Bessel Processes
Let $T_1^{(\mu)}$ be the first hitting time of the point 1 by the Bessel process with index μ ∈ ℝ starting from x > 1. Using an integral formula for the density $q_x^{(\mu)}(t)$ of $T_1^{(\mu)}$ , obtained in Byczkowski and Ryznar (Stud Math 173(1):19–38, 2006), we prove sharp estimates of …