We revisit two classical formulas for the Bessel function of the first kind, due to von Lommel and Weber-Schafheitlin, in a probabilistic setting. The von Lommel formula exhibits a family of solutions to the van Dantzig problem involving the generalized semi-circular distributions and the first hitting times of a Bessel process with positive parameter, whereas the Weber-Schafheitlin formula allows one to construct non-trivial moments of Gamma type having a signed spectral measure. Along the way, we observe that the Weber-Schafheitlin formula is a simple consequence of the von Lommel formula, the Fresnel integral and the Selberg integral.
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