A pursuit problem for squared Bessel processes

doi:10.1051/ps/2025014

2025-12-23

PRE

Profeta, Christophe *

DOI：10.1051/ps/2025014

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在本注记中，我们关注两个独立的平方Bessel过程在长时间内不交叉的概率。我们证明该概率具有幂律衰减，其衰减指数由某个超几何函数的第一个零点给出。在推导过程中，我们也计算了交叉最终发生的位置的分布。

Keyword:

Bessel process

persistence probability

first passage time

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ESAIM-PROBABILITY AND STATISTICS

IF:

0.7

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universite paris saclay

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1.7K

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