Hitting times for Bessel processes

Abstract

We study the density of therst time that a Bessel bridge of dimension 2 R hits a constant boundary. We do so byrst writing the stochastic differential equations to analyze the Bessel process for every 2 R. Then, we make use of a change of measure using a Doob's h-transform. The technique covers processes which are solutions of a certain class of stochastic differential equations. Another example we present is for the 3{dimensional Bessel process with drift.