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A pursuit problem for squared Bessel processes
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DOI：10.1051/ps/2025014.png)
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Abstract
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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.
Keywords:
Bessel process
persistence probability
first passage time
Journal
E
IF:
0.7
Papers:
11
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0