Article ID Journal Published Year Pages File Type
10527394 Stochastic Processes and their Applications 2014 40 Pages PDF
Abstract
For α∈R, let pR(t,x,x) denote the diagonal of the transition density of the α-Bessel process in (0,1], killed at 0 and reflected at 1. As a function of x, if either α≥3 or α=1, then for t>0, the diagonal is nondecreasing. This monotonicity property fails if 1≠α<3.
Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
Authors
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