On the simultaneous zeroes of Bessel processes

Abstract

Given n independent squared Bessel processes, a priori with different dimensions, we investigate the first time $ζ$ at which at least n -1 of them vanish simultaneously. We show that the tail asymptotics of $ζ$ admits a power decay, with a persistence exponent given as the first positive pole of some explicit meromorphic function. This answers a question raised by Q. Berger, L. B{é}thencourt and C. Tardif in the case n = 3. We also provide along the way a closed-form expression for the Mellin transform of the position of the remaining process at time $ζ$. The paper is concluded by a more detailed study of the case of identical dimensions.