The PDF file you selected should load here if your Web browser has a PDF reader plug-in installed (for example, a recent version of Adobe Acrobat Reader).

Alternatively, you can also download the PDF file directly to your computer, from where it can be opened using a PDF reader. To download the PDF, click the Download link below.

If you would like more information about how to print, save, and work with PDFs, Highwire Press provides a helpful Frequently Asked Questions about PDFs.

Download this PDF file Fullscreen Fullscreen Off

References

  • Byczkowski, T.; Ryznar, M. Hitting distributions of geometric Brownian motion. Studia Math. 173 (2006), no. 1, 19--38. MR2204460
  • Getoor, R. K.; Sharpe, M. J. Excursions of Brownian motion and Bessel processes. Z. Wahrsch. Verw. Gebiete 47 (1979), no. 1, 83--106. MR0521534
  • Gradshteyn, I. S.; Ryzhik, I. M. Table of integrals, series, and products. Translated from the Russian. Translation edited and with a preface by Alan Jeffrey and Daniel Zwillinger. With one CD-ROM (Windows, Macintosh and UNIX). Seventh edition. Elsevier/Academic Press, Amsterdam, 2007. xlviii+1171 pp. ISBN: 978-0-12-373637-6; 0-12-373637-4 MR2360010
  • Hamana, Yuji; Matsumoto, Hiroyuki. The probability densities of the first hitting times of Bessel processes. J. Math-for-Ind. 4B (2012), 91--95. MR3072321
  • Hamana, Yuji; Matsumoto, Hiroyuki. The probability distributions of the first hitting times of Bessel processes. Trans. Amer. Math. Soc. 365 (2013), no. 10, 5237--5257. MR3074372
  • Kent, John T. Eigenvalue expansions for diffusion hitting times. Z. Wahrsch. Verw. Gebiete 52 (1980), no. 3, 309--319. MR0576891
  • Revuz, Daniel; Yor, Marc. Continuous martingales and Brownian motion. Third edition. Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences], 293. Springer-Verlag, Berlin, 1999. xiv+602 pp. ISBN: 3-540-64325-7 MR1725357
  • Watson, G. N. A treatise on the theory of Bessel functions. Reprint of the second (1944) edition. Cambridge Mathematical Library. Cambridge University Press, Cambridge, 1995. viii+804 pp. ISBN: 0-521-48391-3 MR1349110


Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.