Hitting times of Bessel processes, volume of Wiener sausages and zeros of Macdonald functions

Yuji Hamana; Hiroyuki Matsumoto

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arXiv · 1302.4526

Hitting times of Bessel processes, volume of Wiener sausages and zeros of Macdonald functions

Yuji Hamana·Hiroyuki Matsumoto

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Abstract

We derive formulae for some ratios of the Macdonald functions, which are simpler and easier to treat than known formulae. The result gives two applications in probability theory. One is the formula for the L{\'e}vy measure of the distribution of the first hitting time of a Bessel process and the other is an explicit form for the expected volume of the Wiener sausage for an even dimensional Brownian motion. Moreover, the result enables us to write down the algebraic equations whose roots are the zeros of Macdonald functions.

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BibTeX RIS

Yuji Hamana, Hiroyuki Matsumoto. 2013-02-19. Hitting times of Bessel processes, volume of Wiener sausages and zeros of Macdonald functions. https://arxiv.org/abs/1302.4526

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