Abstract
In this paper we study the Bessel process \(R_{t}^{(\mu )}\) 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 \(p_{a}^{(\mu )}(t,x,y)\) for the whole range of space parameters x,y > a and every t > 0.
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The project was funded by the National Science Centre grant no. 2013/11/D/ST1/02622.
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Bogus, K., Małecki, J. Sharp Estimates of Transition Probability Density for Bessel Process in Half-Line. Potential Anal 43, 1–22 (2015). https://doi.org/10.1007/s11118-015-9461-x
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DOI: https://doi.org/10.1007/s11118-015-9461-x