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First-passage and first-exit times of a Bessel-like stochastic process
Edgar Martin1, Ulrich Behn, Guido Germano
1Fachbereich Chemie und WZMW, Philipps-Universität Marburg, Marburg, Germany. edgar.martin@uni-marburg.de
Abstract:
We study a stochastic process X(t) which is a particular case of the Rayleigh process and whose square is the Bessel process, with various applications in physics, chemistry, biology, economics, finance, and other fields. The stochastic differential equation is dX(t)=(nD/X(t))dt+√(2D)dW(t), where W(t) is the Wiener process. The drift term can arise from a logarithmic potential or from taking X(t) as the norm of a multidimensional random walk. Due to the singularity of the drift term for X(t)=0, different natures of boundary at the origin arise depending on the real parameter n: entrance, exit, and regular. For each of them we calculate analytically and numerically the probability density functions of first-passage times or first-exit times. Nontrivial behavior is observed in the case of a regular boundary.
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