Year: 2026
Type: preprint
Abstract: We construct finite Gamma convolutions approximating the first hitting time of $1$ by a Bessel process of index $ν>-1$ started at the origin. The scale measure in the classical exponential representation of this law is obtained by squaring the positive half of a dilated modified Lommel polynomial orthogonality measure. Its Jacobi recurrence yields an $N$-factor Gamma convolution that uniquely matches the first $2N$ cumulants, the maximal number attainable in this class. From an exact Gaussian quadrature remainder we derive supergeometric convergence of the Laplace transforms on compact subsets of a common slit plane and geometric convergence of the distribution functions uniformly on the real line. The approximants have total Gamma shape $N(N+ν+1)$, and their Laplace transforms and negative moments decrease to those of the exit law.
Source: arXiv (Cornell University)
Author: Clark, Steven P.
Language: English
Subfield: Applied Mathematics
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W7222005018