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Moments and tails of hitting times of Bessel processes and convolutions of elementary mixtures of exponential distributions (2102.07015v2)
Published 13 Feb 2021 in math.PR
Abstract: We present explicit estimates of right and left tails and exact (up to universal, multiplicative constants) estimates of tails and moments of hitting times of Bessel processes. The latter estimates are obtained from more general estimates of moments and tails established for convolutions of elementary mixtures of exponential distributions.
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