Mathematics > Probability
[Submitted on 19 Nov 2024]
Title:A pursuit problem for squared Bessel processes
View PDFAbstract:In this note, we are interested in the probability that two independent squared Bessel processes do not cross for a long time. We show that this probability has a power decay which is given by the first zero of some hypergeometric function. We also compute along the way the distribution of the location where the crossing eventually occurs, as well as some Cram{é}r's estimates for squared Bessel processes perturbed by a power drift.
Submission history
From: Christophe Profeta [view email] [via CCSD proxy][v1] Tue, 19 Nov 2024 08:16:06 UTC (110 KB)
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