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

2013/09/12 by Bogus, Kamil, Malecki, Jacek
#60J60 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1309.3249

Abstract

In this paper we study the Bessel process R_t^(μ) with index μ≠ 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^(μ)(t,x,y) for the whole range of space parameters x,y>a and every t>0.

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