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arXiv · 1309.3249

Sharp estimates of transition probability density for Bessel process in half-line

Kamil Bogus·Jacek Malecki
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Abstract

In this paper we study the Bessel process R_t^{(\mu)} with index \mu\neq 0 starting from x>0 and killed when it reaches a positive level a, where x>a>0. We provide sharp estimates of the transition probability density p_a^{(\mu)}(t,x,y) for the whole range of space parameters x,y>a and every t>0.

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Kamil Bogus, Jacek Malecki. 2013-09-12. Sharp estimates of transition probability density for Bessel process in half-line. https://arxiv.org/abs/1309.3249

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