Tails of the first hitting times of linear diffusions

Yuji Kasahara

doi:10.21099/tkbjm/1474747487

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Home > Journals > Tsukuba J. Math. > Volume 40 > Issue 1 > Article

July 2016 Tails of the first hitting times of linear diffusions

Yuji Kasahara

Tsukuba J. Math. 40(1): 55-79 (July 2016). DOI: 10.21099/tkbjm/1474747487

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Abstract

The tail probability of the first hitting time is discussed for linear diffusions. We obtain the decay rates in terms of the spectral functions and the scale functions. The result is a generalization of recent results of Hamana-Matsumoto for Bessel processes.

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Yuji Kasahara. "Tails of the first hitting times of linear diffusions." Tsukuba J. Math. 40 (1) 55 - 79, July 2016. https://doi.org/10.21099/tkbjm/1474747487