A pursuit problem for squared Bessel processes
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.
Institutions
- Centre National de la Recherche Scientifique (FR)
- Université Paris-Saclay (FR)
- Université d'Évry Val-d'Essonne (FR)
Publication Details
- Journal
- Springer Link (Chiba Institute of Technology)
- Published
- 2025-12-23
- DOI
- https://doi.org/10.1051/ps/2025014/pdf
- Primary Topic
- Random Matrices and Applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00