Moment-optimal Gamma approximation of Bessel Process exit times

Source 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.